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From |
Xiang Ao <xao@hbs.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: an estimation method question |

Date |
Tue, 16 Mar 2010 14:14:33 -0400 |

Thanks, Xiang Maarten buis wrote:

--- 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 theresults 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- bytyping 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 withan Application to 401(k) Plan Participation Rates". Journalof 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=st0147The model implemented in -betafit- was discussed in a numberof papers:Ferrari, S.L.P. and Cribari-Neto, F. (2004). "Beta regressionfor modelling rates and proportions". Journal of AppliedStatistics 31(7): 799-815.Paolino, P. (2001). "Maximum likelihood estimation of modelswith 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 dependentvariables". 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:*Maarten buis <maartenbuis@yahoo.co.uk>

**References**:**Re: st: an estimation method question***From:*Maarten buis <maartenbuis@yahoo.co.uk>

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