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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 |
Wed, 17 Mar 2010 22:29:34 -0400 |

Thanks a lot, Maarten. That's very helpful. Best, Xiang Maarten buis wrote:

--- On Wed, 17/3/10, Xiang Ao wrote:I am thinking whether we can do a maximum likelihood with some constraints by observation. That is, assume each share conforms to beta distribution, for example, then within each firm, the shares add up to one. Would that be valid?That distribution is called a Dirichlet distribution. Thebasic version is implemented in -dirifit-. In your caseyou want to allow for different number of categories andadd the possibility that variables may have differentvalues across categories, but add the constraint thatthe effects are constant across categories.Before you start on such a programming excersise it isgood (i.e. absolutely crucial) to know what to expect.So you need to fit a simpler model using existingsoftware that is halfway reasonable. Going with the-xtgee- or -glm- suggestion I proposed earlier wouldbe such a way. It won't enforce the sum to oneconstraints, but in my experience that is almost nevera problem: if the model is halfway reasonable then the predicted proportions will almost always add up to a number very close to 1. Adding that constraint lateron, will thus add only a little bit of extrainformation, and thus make the standard errors a bitsmaller, but I would not expect much more improvementthan that. So you might want to consider if such smallgains are worth the effort of programming a newprocedure. The smaller standard error aren't the onlypay-off though: programming is fun!!(but try sellingthat to your employer...)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/

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

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