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


From   "Rosy Reynolds" <rr@dandr.demon.co.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: reference for simulation of biased estimates with logit and dummies
Date   Thu, 7 Feb 2008 16:49:35 -0000

Thanks very much, Arne. That certainly looks useful, I'll get down to the library to request it.
Rosy

----- Original Message ----- From: "Arne Risa Hole" <arnehole@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, February 07, 2008 11:53 AM
Subject: Re: st: reference for simulation of biased estimates with logit and dummies



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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