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From |
Rijo John <rmjohn@gmail.com> |

To |
stata <statalist@hsphsun2.harvard.edu> |

Subject |
st: Change in coefficient sign with Pooled Fractional Probit |

Date |
Wed, 1 Dec 2010 17:01:56 -0500 |

Hi Statalist, I am trying to estimate a Pooled Fractional Probit (PFP) model for my panel data which has 51 panels and 10 years. My dependent variable is a fraction strictly between zero and 1 (no zeros or ones). I am using the Fractional Probit model developed by Papke and Wooldridge. here is what I am doing. Specification 1) glm Y X1 X2 X3 X4 X5 aX1 aX2 aX3 aX4 aX5, link(probit) fam(bin) cluster(Clustvar) where aX's are the time averages of all the X's. This is how PFP is implimented I guess. Specification 2) glm Y X1 X2 X3 X4 X5 Yeardummies, link(probit) fam(bin) robust This is the implementation of fractional logit/probit model in cross sectional data. I just used this here by adding year dummies. The variable of interest to me is X1 and the rest are all control variables. I am getting expected and significant results for most of the coefficients. However between the above 2 specificaitons, the cofficient sign for the variable X1 changes from specification 1 to 2 both being significant. A simple linear regression also returns the same sign as the one in specification 2. How can I decide which specification to go with? Any help will be appreciated. Thanks, Rijo. * * 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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