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Re: st: reference for simulation of biased estimates with logit and dummies


From   "Arne Risa Hole" <arnehole@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: reference for simulation of biased estimates with logit and dummies
Date   Thu, 7 Feb 2008 11:53:49 +0000

Hi Rosy,

I don't know whether the simulations by Gould et al. were published
but you might find this paper useful:

<http://www.res.org.uk/journals/abstracts.asp?ref=1368-4221&vid=7&iid=1&aid=123>

Arne

On 07/02/2008, Rosy Reynolds <rr@dandr.demon.co.uk> wrote:
> Hi,
> I have data where I expect clustering by centre, and have read repeatedly on
> Statalist that adding centre dummies to represent fixed effects produces
> biased estimates unless the number of observations in each centre is large.
> David Harless in Oct 2007
> (http://www.stata.com/statalist/archive/2007-10/msg00926.html) helpfully
> pasted a detailed explanation from Bill Gould and Vince Wiggins from Feb
> 2000, which includes mention of a simulation study showing that the bias
> really matters: "In the case of logistic regression, however, the estimates
> one obtains from including all the dummies are biased and, even as
> n->infinity, that bias never goes away. Vince Wiggins <vwiggins@stata.com>
> and I recently simulated this and discovered that this not a sterile,
> theoretical argument -- the estimates on obtains for the parameters are
> genuinely bad." I think the same simulation was alluded to again in 2003
> (http://www.stata.com/statalist/archive/2003-09/msg00103.html) and 2007
> (http://www.hsph.harvard.edu/cgi-bin/lwgate/STATALIST/archives/statalist.0710/date/article-934.html).
> I would like to cite this simulation, or something similar, but have not
> managed to find any more detail. Could anyone please direct me to a
> reference or confirm that it was internal work and not formally published?
> (I was also unable to find the Feb 2000 Statalist entry. It seems that the
> archive does not go back so far. Is that right?)
> Thanks to anyone and everyone who can help.
> Rosy Reynolds
>
>
>
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