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Re: st: maximum likelihood estimation of discrete random effects

From   Maarten buis <>
Subject   Re: st: maximum likelihood estimation of discrete random effects
Date   Fri, 23 Jul 2010 12:35:45 +0000 (GMT)

--- On Fri, 23/7/10, Giorgia Lee wrote:
> I am studying exit of firms as a function of competition in
> their market. I have yearly data. My dataset stacks
> obervations on the same firms over 10 years. I model the per
> period hazard with a logit .
> I introduce unobserved heterogeneity using a discrete random
> effect with 2 points of support, the heterogeneity is introduced
> through the intercept in the logit and have come up with the
> following program to estimate this with Stata:
> However, Stata starts the calculations and then the iterations
> never stop because of non concavity. 

You can compare your code with the code from  Stephen Jenkins' 
-hshaz-. You can find that by typing in Stata -ssc d hshaz-.

A minor point: you are not modeling the hazard but the odds of 
exit. If you want to model the hazard you must use the 
complementary log log link.

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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