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Re: st: clogit with fixed effects


From   Kyle Hood <kyle.hood@yale.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: clogit with fixed effects
Date   Fri, 20 Mar 2009 21:21:19 -0700

See

http://www.stata.com/statalist/archive/2009-03/msg00375.html

for a discussion of the different possibilities.

Unfortunately, I don't think that the predict command can give you back the fixed effects, after a clogit or xtlogit, fe

Kyle

ssamuels@albany.edu wrote:
Isabelle--

Please, next time, as the Statalist FAQ request, show exactly what
-xtlogit- command you would like -clogit- to duplicate.

I think you misunderstand the relation of -xtlogit- with the "fe" option
to -clogit-. They are equivalent, as the manual entries make clear. Run
the code below for a demonstration. In fact, the full title of -clogit- is
"Conditional (fixed-effects) logistic regression."  These commands
suppress intercepts for the panels (-xtlogit-) or groups (-clogit-). Since
you give no details , I cannot tell if "individuals" and "countries" are
the group variables you have used in -clogit-.  If you wish to add dummy
variables and estimate the intercepts  explicitly, use ordinary -logit-.

This is a bad idea if you do not have enough observations to estimate the
intercepts with good precision.  Even if you have enough observations, it
is probably still a bad idea.  What are you going to do with the
intercepts?  With hundreds (or thousands) of countries and individuals,
you will get pages of output.  Instead, consider -xtmelogit-, which will
allow you to model random slopes in addition to random intercepts.  Unlike
-clogit- and -xtlogit, fe-, -xtmelogit- followed by -predict- will
estimate useful predicted probabilities, including probabilities for
groups, considered as random effects.


-Steve

*************BEGIN CODE********************
webuse union, clear
xtset idcode
xtlogit union age, fe
clogit union age, group(idcode)
**********END CODE*********************


On Mar 19, 2009, at 3:08 PM, Isabelle.Roux@ehess.fr wrote:

Dear Statalisters,

I would like to run a conditional logit and add individual and countries
fixed effects, but I dont find the command which corresponds to
*xtlogit...fe* for the conditional logit model: it seems that it does not
exist. So I am to create dummies and add them in the traditional
conditional model. Do you think it is a good idea?



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--
Kyle Hood
Department of Economics
Yale University
New Haven, CT
website: http://www.econ.yale.edu/~kkh25/

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