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st: choice-based sampling and Stata


From   "Aaron Li" <ylacademics@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: choice-based sampling and Stata
Date   Thu, 29 Sep 2005 05:26:41 +0000

Sorry if this is a beginnerâs question. I want to investigate the likelihood of a firm i investing in an industry s at time t: P(Yist=1)=f(X, Z). My explanatory variables X are some investing firm-level characteristics; Z are some characteristics of the invested industries. About 1000 firms have made 12000 investments in 200 industries at 3-digit SIC level over 20 years’ time.

I want to specify an xtlogit model and use Compustat public firm data as control. Since the control size is huge (over 1 million), I am thinking of using a 1:10 or 1:20 sample-control ratio. I have two questions:

1. Is this kind of ‘choice-based sampling’ proper for my purpose? I would appreciate any suggestions or references about the sampling and model specification?
2. What’s the best way to generate the controls in Stata/SE 8?

Thank you for your help.

Ayl
ylacademics@hotmail.com


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