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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Logit and the Clustered Bootstrap |

Date |
Mon, 31 Aug 2009 12:58:55 -0400 |

Stas et al.-- I agree, but note that the bias due to estimating incidental parameters when including a set of dummies in a logit model is probably not too large, perhaps order 1/T so not too big a deal if you have many years per state (T large relative to N), though you would have to do a simulation for your particular set-up. See e.g. recent threads http://www.stata.com/statalist/archive/2007-10/msg01008.html and http://www.stata.com/statalist/archive/2007-10/msg00926.html and http://www.stata.com/statalist/archive/2007-10/msg00935.html Also, there are solutions other than clogit/xtlogit including a bias-corrected estimator (subtract off the first-order bias term as discussed in e.g. http://www.jstor.org/stable/2336755 but then you get higher variance, so maybe higher MSE) or a kernel-based method, as discussed in http://www.jstor.org/stable/2951556 and the many papers that cite that paper. See also http://www.econ.brown.edu/~tl/papers/IncidentalParameters1948.pdf http://www.cemfi.es/~arellano/arellano-hahn-paper2006.pdf On Mon, Aug 31, 2009 at 11:47 AM, Stas Kolenikov<skolenik@gmail.com> wrote: > On top of the mechanical problems discussed by Austin and Jeff, I > would like to remind that logit with dummy variables is not the same > as conditional logit (although on most occasions the results that are > quite similar). Conditional logit truly excludes the panel effects out > of estimation, so Stata's bootstrap won't have any problems like > "Oops... I dropped this variable because of multicollinearity... WHAT > HAVE I JUST DONE? I CANNOT ESTIMATE THIS PARAMETER ANYMORE!!!" (shown > as "x" in the -bootstrap- output when a useful option -dots- is > specified). Logit with dummy variables is... well, it is a logit with > dummy variables. It is not a panel data command. -xtlogit-, to my > understanding, is identical to -clogit-. In your context, it only > estimates one parameter (the slope of the January temperature), so it > does not run into identification problems. > > Furthermore, there should be little difference of the bootstrap > standard errors from -logit ..., cluster(division)-. If there is a big > difference between the standard errors obtained from > linearization/-cluster- option calculation, on one hand, and > -bootstrap-, on the other, I won't trust either of them. The two types > of standard errors work under pretty much the same assumptions > (whatever warrants the asymptotic normality of the estimates as the > number of clusters goes to infinity), so if they are wildly different, > then those assumptions are likely not met (or you have not set up your > bootstrap right). > > On Thu, Aug 27, 2009 at 4:53 PM, L S<lts40301@gmail.com> wrote: >> I am trying to perform a clustered bootstrap in which I also include >> fixed effects for the variable serving as the cluster identifier. For >> cross-sectional data on individuals in different states, I would like >> to do a bootstrap that clusters by state, but also includes state >> fixed effects. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Logit and the Clustered Bootstrap***From:*L S <lts40301@gmail.com>

**Re: st: Logit and the Clustered Bootstrap***From:*Stas Kolenikov <skolenik@gmail.com>

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