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st: RE: "Regular" fixed effects and nbreg, in stata8.2?


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: "Regular" fixed effects and nbreg, in stata8.2?
Date   Tue, 7 Jun 2005 18:16:34 -0500

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of SamL
> Sent: Tuesday, June 07, 2005 9:24 AM
> To: Stata Listserve
> Cc: SamL@demog.berkeley.edu
> Subject: st: "Regular" fixed effects and nbreg, in stata8.2?
> 
> The manual states that for the command -xtnbreg- with the -fe- option, the
> term "fixed effects" applies "to the distribution of the dispersion
> parameter, and not to the xB term in the model."  I am understanding this
> to mean that there is no fixed effect--in the usual sense of a beta
> coefficient for the unit (i) to which the observation belongs.  I have two
> questions.
> 
> 1)Is my understanding correct?

Yes

> 2)If my understanding is correct, may one obtain a fixed effects nbreg
> model that *does* have a fixed effect, in the usual xB sense, for the unit
> to which each observation belongs and, if so, how?  (I don't need to see
> the fixed effect--if it drops out of the conditional model, that's fine--I
> just need for the usual fixed effect to drop out, not the dispersion
> parameter. For my analysis an equal dispersion parameter across units
> would be fine.).
 
You could use -poisson- with dummy variables.  Unlike other nonlinear
estimators, it does not suffer from an incidental parameters problem.  See
Cameron and Trivedi 1998, "Regression Analysis of Count Data" p. 280-282.

If you a large number of observations per cross section (enough that you
would be willing to estimate each cross section separately) you may be able
to get away with the use dummy variables (the inconsistency disappears as T
-> infinity).  On a similar topic, you may find the post by Bill Gould,
Vince Wiggins, and David Drukker helpful:
 http://www.stata.com/statalist/archive/2003-09/msg00103.html


Scott


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