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st: cross-sectional dependence in panel data


From   Thomas Mhlmann <maehlmann@wiso.uni-koeln.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: cross-sectional dependence in panel data
Date   Mon, 10 May 2004 12:08:12 +0200

Dear Statalist,

I apologize for maybe asking something real simple but I stuck on the
following problem:

I have a panel dataset in which unit i=1, .., N is oberserved for
t=1,.., n(i) times. The response y(it) for unit i at time t  is binary
and there are some  subject specific x(it) and time specific z(t)
covariates.  In addition there are some unobserved time specific factors
which cause the units to be cross-sectional dependent. Now I want to
estimate the following model:

P(y(it) = 1|x(it-1),z(t-1)) = F((0)+x(it-1)+bz(t-1)+v(t)),

where (0),  and b are parameters and F is for example the logistic
function. I have two questions:

1) How can I estimate the time specific random effect v(t) in stata?
What I see in the documentation for xtlogit is the subject specific
random effect v(i). Must I adjust the index variables via the i() and
t() options in the xt command? (my time variable t is the cluster
variable i in stata?)

2) How can I incorporate the lagged covariates x(it-1) and z(t-1) into
the estimation?

Any suggestions are appreciated very much!

Thomas



































































































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