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st: RE: Multinomial logit for panel data?

From   "Nick Cox" <>
To   <>
Subject   st: RE: Multinomial logit for panel data?
Date   Thu, 9 Jul 2009 15:58:57 +0100

I don't think so; that is, it does not seem that multinomial *it will be
of much use to you. As I understand it, you want a kind of Markov model
in which you estimate transition probabilities. Such models were much
discussed a few decades ago but in literature I see appear rather
unfashionable now, for no good reason obvious to me. 

I can confirm that -markov-, which I wrote in 1998 and which remains on
SSC, is no use for your purpose. I get occasional mail about it, some of
it rather indignant or at least surprised that it does not do what it
does not claim to do, namely support panels. This attitude sometimes
appears connected to the paradox that those claiming to be doing
cutting-edge research often expect that canned software is always
available already in precisely the form they need. 

Yvonne Bishop, Stephen Fienberg and Paul Holland in their text "Discrete
multivariate analysis" (MIT Press 1975; reissued more recently by
Springer) have a chapter relating Markov and log-linear modelling. So,
and this is wild surmise, -glm- or -poisson- may be of some use to you. 


Dmitriy Krichevskiy

I have a large panel dataset (about 14000 individuals over 84 periods
- unbalanced). I want to get to the limiting distribution of
distribution dynamics for 2 separate groups. Is anyone aware of the
way to analyze this?
 -markov- does not work on panel data and -xttrans- produces a single
transition matrix by lumping all of the transitions into '1 old to 1
new' transition. Ideally I would want a dynamic panel data model but
the dependant variable is a quintile so it seems to me that
multinomial logit or probit is in order. Thanks for all of your help

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