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Re: st: st : Prediction using xtlogit


From   Jeph Herrin <junk@spandrel.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: st : Prediction using xtlogit
Date   Mon, 05 Mar 2007 13:50:07 -0500

Sam,

I think you are correct, but the question here specifically concerns
the random effects logit, not the fixed effects model.

thanks,
Jeph


SamL wrote:
Actually, I am not sure the fixed effects logit explicitly estimates what
one needs to have estimated to produce the predicted values you are
seeking.  I think you are estimating the random effects model, and I am
not sure this translates to that model.

But, the fixed effects logit sweeps the intercepts out, and estimates the
parameters for the variables that vary.  Lacking an intercept for a case,
I don't believe one can calculate a predicted value for the case.  It may
be that the random effects model does something similar, treating the
errors in the way that the fixed effects logit model treats the
person-specific intercepts.

But, I've been following this thread to see if someone mentioned this, and
I don't have access to my econometrics texts at the moment (while
traveling overseas), so I cannot do a quick check of my own resources to
confirm this.  But, it would explain the absence of a predicted value
"switch" on the post-estimation command for xtlogit, I suppose.

Hopefully others will weigh in to clarify.

HTH
Sam



On Mon, 5 Mar 2007, Arne Risa Hole wrote:

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


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