Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Maarten buis <maartenbuis@yahoo.co.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: an estimation method question |

Date |
Tue, 16 Mar 2010 16:16:52 +0000 (GMT) |

--- On Tue, 16/3/10, Xiang Ao <xao@hbs.edu> wrote: > We are trying to estimate an equation which has some > constraints by observation. We are studying founders > of firms. The dependent variable is the share of the > firm. We are studying what factors influence the > shares. We now have a problem: for each firm, > the shares necessarily sum to one. We were thinking of > dropping an observation per firm, but it turns out the > results are dependent on which observation to drop. > Any suggestions on estimation methods would be helpful. With this type a data the key distinction is whether you have 2 or more than 2 categories whose proportions should add up to 1. In the former case you either use -betafit- or -glm varlist , link(logit) family(binomial) vce(robust)-. In the latter case you can use -dirifit- or -fmlogit-. you can install -betafit-, -dirifit-, and -fmlogit- by typing in Stata: ssc install betafit ssc install dirifit ssc install fmlogit -betafit-, -glm-, and -dirifit- were discussed in this talk at the 2006 London Stata Users' Group meeting: http://ideas.repec.org/s/boc/usug06.html The -glm- trick is based on this paper: Papke, Leslie E. and Jeffrey M. Wooldridge. (1996) "Econometric Methods for Fractional Response Variables with an Application to 401(k) Plan Participation Rates". Journal of Applied Econometrics, 11(6):619-632. The -glm- trick is also discussed in the Stata tip: Christopher F. Baum (2008) "Stata tip 63: Modeling proportions" The Stata Jouranl, 8(2): 299--303. http://www.stata-journal.com/article.html?article=st0147 The model implemented in -betafit- was discussed in a number of papers: Ferrari, S.L.P. and Cribari-Neto, F. (2004). "Beta regression for modelling rates and proportions". Journal of Applied Statistics 31(7): 799-815. Paolino, P. (2001). "Maximum likelihood estimation of models with beta-distributed dependent variables". Political Analysis, 9(4): 325-346. Smithson, M. and Verkuilen, J. (2006) "A better lemon squeezer? Maximum likelihood regression with beta-distributed dependent variables". Psychological Methods, 11(1): 54-71. -fmlogit- is basically a generalization of the -glm- trick to multiple categories. examples can be found here: http://www.maartenbuis.nl/software/betafit.html http://www.maartenbuis.nl/software/dirifit.html http://www.maartenbuis.nl/software/fmlogit.html Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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/

**Follow-Ups**:**Re: st: an estimation method question***From:*Xiang Ao <xao@hbs.edu>

**References**:**st: an estimation method question***From:*Xiang Ao <xao@hbs.edu>

- Prev by Date:
**RE: st: correcting skewness of an indep variables** - Next by Date:
**RE: re:Re: st: Does it need to control industry if the concerned variable has been adjusted by industry?** - Previous by thread:
**st: an estimation method question** - Next by thread:
**Re: st: an estimation method question** - Index(es):