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Re: st: nbreg with fixed effect vs xtnbreg,fe


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: st: nbreg with fixed effect vs xtnbreg,fe
Date   Tue, 07 Feb 2012 11:06:19 -0500

At 03:55 PM 2/6/2012, Shikha Sinha wrote:
Hi All,

I am trying to model count data with county fixed effect. It is a
cross-sectional data. I want to know if

xi: nbreg DV IV control i.county

is same as

xtnbreg DV IV control, fe i(county)

I get different results. Please advise what is the best way to model
count data with fixed effect.

I haven't been following this thread, but just as a sidelight Paul Allison claims that the method used by -xtnbreg- does not produce a true fixed effects regression model. He proposes an alternative approach that is much slower but that he claims is correct. See pps. 62-64 of his 2009 Sage Book "Fixed Effects Regression Models." In fact, if I am reading both you and Allison correctly, I think he would say to do things the way you are doing it in your first command, i.e. create a bunch of dummies for county. (But I won't swear to it.)

I'd be interested to hear if StataCorp violently disagrees or has taken some steps to correct the problem, which Allison first pointed out in a 2002 paper.

Regardless of whether Allison is right on this particular point, it is a great book and well worth the $15 or so that it costs.


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Richard Williams, Notre Dame Dept of Sociology
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