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Re: st: st : Prediction using xtlogit


From   "Arne Risa Hole" <arnehole@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: st : Prediction using xtlogit
Date   Mon, 5 Mar 2007 17:15:25 +0000

Jeph,

One way to speed up the estimation would be to run the model first
using -xtlogit- and then use the estimated parameters as starting
values for -gllamm-. Since you are estimating the same model using
only slightly different approaches the coefficients ought to be very
similar and therefore -gllamm- *should* only need a couple of
iterations to converge.

I agree that it doesn't sound like too much extra work is needed to
calculate the probabilities using xtlogit.ado as a starting point but
perhaps I'm ignoring something here..

Arne

On 05/03/07, Jeph Herrin <junk@spandrel.net> wrote:
Arne,

Thanks. I considered this, but -gllamm- takes much longer
to converge (using quadrature) and I need to loop over many
models; the difference in estimation time would be measured
in days.

It is also curious that -xtlogit- can't provide these
probabilities directly; it must estimate the random effects,
right?

thanks,
Jeph



Arne Risa Hole wrote:
> Hi Samuele and Jeph,
>
> If you estimate the random effects logit model using -gllamm- rather
> than -xtlogit- you can calculate the probabilities with non-zero
> random effects as well as the random effects themselves using
> -gllapred-. See ch. 9 in "A Handbook of Statistical Analyses using
> Stata" by Sophia Rabe-Hesketh and Brian Everitt for an example.
>
> Hope this helps.
>
> Arne
>
> On 05/03/07, Jeph Herrin <junk@spandrel.net> wrote:
>> I posted this same question *twice* this week, with no answer
>> yet. Please let me know if you learn something.
>>
>> thanks,
>> Jeph
>>
>>
>> Samuele Biasiolo wrote:
>> > After an xtlogit regression, using random effect, there is any
>> method to calculate probability of a positive outcome assuming random
>> effect is NOT zero?
>> >
>> > Thanks for help.
>> >
>> > Samuele
>> >
>> >
>> > ------------------------------------------------------
>> > Passa a Infostrada. ADSL e Telefono senza limiti e senza canone Telecom
>> > http://click.libero.it/infostrada4marz07
>> >
>> >
>> >
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