Re: st: Prediction using xtlogit

[Jeph Herrin <junk@spandrel.net>]

Roberto,

Thanks for clarifying, and for holding out hope that we will see
this added in the near future.

cheers,
Jeph


Roberto G. Gutierrez, StataCorp wrote:
> There has been a lot of discussion as to how to obtain estimates of the random
> effects in an -xtlogit, re- model.  Most recently, Arne Risa Hole
> <arnehole@gmail.com> states:
>
> > While it is true that one cannot calculate the probabilities based on a
> > fixed effects logit model unless one makes the assumption that the fixed
> > effects are zero (since the fixed effects are not actually estimated) this
> > is not the case with the random effects logit model.  After all -gllapred-
> > is able to calculate the probabilities without imposing the assumption that
> > the random effects are zero, so this does not, I believe, explain why it is
> > not possible with -xtlogit, re-
> Predicting random effects is currently not possibly with -xtlogit, re-, and 
> is this due to history and oversight.
>
> History: -xtlogit, re- originally used standard Gaussian quadrature, an
> estimation method not requiring direct estimates of the random effects in
> order to perform the integration necessary to calculate the likelihood.
> The current version now uses (by default) adaptive Gaussian quadrature, 
> a method that does require estimating the random effects.
>
> Oversight: No matter the estimation method, there is no reason that random
> effects could not be "predicted" post-estimation, a la BLUP estimation after
> -xtmixed-.
>
> Resolution: This is a capability we'll certainly look into adding.
>
> --Bobby
> rgutierrez@stata.com
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