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st: Panel Multinomial Logistic Model


From   "Lee, Albert" <Albert.Lee@hud.gov>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Panel Multinomial Logistic Model
Date   Mon, 24 May 2010 13:38:48 -0400

Hi, 

I understand that there is not a stata command for multinomial logistic model for panel data estimation.  I wonder if the following can be done for a three-outcome categorical dependent variable (say, 0, 1, 2):

1.  Estimate a panel logit for outcome=1, and predict the exp(xb+random effects), 
2.  Estimate a panel logit for outcome=2, and predict the exp(xg+random effects), and

3.  Hand calculate a panel multinomial logit for the prob(outcome=1) by scrambling the predictions of the two panel logits, namely, exp(xb+random effects)*(1+exp(xb+random effects)+exp(xg+random effects))^-1

I believe that this equivalence exists between multinomial logit and a series of binary logit regressions in a non-panel setting.  I wonder if the same logic extends to panel data.

Thanks in advance,

Albert Lee
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