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Re: st: maximum likelihood estimation of discrete random effects


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
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:
<snip> 
> 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

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

http://www.maartenbuis.nl
--------------------------


      

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