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From |
"Liberini, Federica" <F.Liberini@warwick.ac.uk> |

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

Subject |
st: gllamm option geqs |

Date |
Tue, 31 May 2011 17:48:11 +0100 |

I have a question on gllamm. Say a have a simple random parameter model of the form y_it = c + beta_i x_it + u_it with beta_i = b + a z_i + v_i where z_i is a time-invariant dummy for individual i. What would be the difference between 1. generating the interaction x_it*z_i and estimating the model with gllamm specifying just "eqs eq1: x_it" before the gllamm command, and then "nfr(eq1)" among the gllamm options and the interaction term among the regressors and 2. specifying "geqs geq1: x_it z_i" before the gllamm command and then just the gllamm command with nfr(geq1) but no interaction term among regressors? Rabe-Hesketh and Skrondal have an example in their book of a similar model (in paragraph 4.9), but they estimate it with xtmixed and using the interactions following the reduced form of their model. I can't use xtmixed, as I am estimating a random-coefficient dynamic panel probit. But I was just wondering whether the geqs is appropriate (as it seems from its definition). Many thanks, Best Federica * * 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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