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st: Nested logit with purely individual-specific data. STATA10


From   "Bann Bann" <Bannho@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Nested logit with purely individual-specific data. STATA10
Date   Sun, 06 Jul 2008 01:59:02 +0200

Dear all, 

I am having trouble estimating a simple (one nest) nested logit model with purely individual-specific data using STATA 10. 

I am relating takeover probabilities to firms' accounting data (for example firm leverage, short lev). The dependent variable (atd) takes on 1 if no takeover, 2 if friendly and 3 if hostile. 

With this setup I get: 
. nlogit atd lev || lev1: || atd:, case(gvkey)
note: 216 cases dropped because they have only one alternative
depvar atd must be a 0-1 variable indicating which alternatives are chosen

Even though redundant, I then created a data set with three rows per firm (each value of the dependent) and a "decision" variable indicating which value of the dependent is correct. For the explanatory variables I simply replicate each value three times. I get the following error: 

. nlogitgen lev1 = ATD (takeover: 2|3, notakeover: 1)
new variable lev1 is generated with 2 groups
label list lb_lev1
lb_lev1:
           1 takeover
           2 notakeover

. nlogit Decision LEV || lev1: || ATD:, case(gvkey)
note: 17 cases (105 obs) dropped due to no positive outcome or multiple positive outcomes per case
variable LEV is not alternative-specific: it has no within-case variability
r(459);


Additionally I tried setting up the data set with the STATA function "fillin" recommended in some postings. This also creates three observations. In contrast to my data set above I do not get three equivalent observations per firm, but two observations with missing value for the options not chosen. 

. fillin  coname atd

. browse

. rename _fillin chosen

. replace chosen = 1 - chosen
(604 real changes made)

. nlogitgen lev1 = atd (takeover: 2|3, notakeover: 1)
new variable lev1 is generated with 2 groups
label list lb_lev1
lb_lev1:
           1 takeover
           2 notakeover
. nlogit chosen lev || lev1: || atd:, case(gvkey)
note: 216 cases dropped because they have only one alternative
note: 8 cases (17 obs) dropped due to no positive outcome or multiple positive outcomes per case
no cases remain after removing invalid observations
r(2000);

Theoretically I do not see why my estimation should not work. I'm running out of ideas, so any help would be appreciated. 

Thanks a lot, Benjamin



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