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Re: st: Panel Multinomial Logistic Model


From   David Jacobs <jacobs.184@sociology.osu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel Multinomial Logistic Model
Date   Mon, 24 May 2010 13:54:23 -0400

First a random-effects multinomial logit routine may be in Limdep. Although that program is difficult to use, employing it may be less trouble than what you propose.

Second, an alternative solution often recommended on the list when no pooled time series estimator is available in Stata is to simply cluster on cases. While there's no adjustment for separate case-specific intercepts, at least the standard errors may be OK.

I can't evaluate your proposal, however. Let's see if you get any response to this interesting idea.

Dave Jacobs

At 01:38 PM 5/24/2010, you wrote:
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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