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

[Shikha Sinha <shikha.sinha414@gmail.com>]

Hi all,

I emailed my query to tech support at Stata corp and below is the response;


Typically for a fixed effects negative binomial model, you would want to use
the -xtnbreg, fe- command.   -xtnbreg, fe- is fitting a conditional fixed
effects model.  When you include panel dummies in -nbreg- command, you are
fitting an unconditional fixed effects model.  For nonlinear models such as
the negative binomial model, the unconditional fixed effects estimator
produces inconsistent estimates.  This is caused by the incidental parameters
problem.  See the following references for theoretical aspects on the
incidental parameters problem:

               Greene, William H. "Econometric Analysis". Prentice Hall.
               Seventh Edition, page 413.

               Baltagi, Badi "Econometric Analysis of Panel Data".
                       4th. Edition. John Wiley and Sons LTD.
                       Section 11.1 (pages 237-8).



Sincerely,

Kristin

**********************
Kristin MacDonald
Senior Statistician
StataCorp LP
tech-support@stata.com
**********************


On Tue, Feb 7, 2012 at 9:57 AM, Richard Williams
<richardwilliams.ndu@gmail.com> wrote:
> I've read descriptions of -clogit- that left me wondering whether the
> authors were talking about the same command. Similarly confusing is that
> Stata's panel data commands are often useful when you do not have panel
> data. It might be useful if the Stata help made it clear that the -xt-
> commands can be used for many different things, but maybe that would just
> confuse things further. I don't think it is too unusual for techniques to be
> developed for radically different reasons, and then it turns out that
> mathematically they are the same technique.
>
>
> At 11:27 AM 2/7/2012, Muhammad Anees wrote:
>>
>> Yes, observations might be siblings. I agree.
>> Thank you Richard.
>>
>> Best,
>> Anees
>>
>> On Tue, Feb 7, 2012 at 9:24 PM, Richard Williams
>> <richardwilliams.ndu@gmail.com> wrote:
>> > At 07:51 AM 2/7/2012, Muhammad Anees wrote:
>> >>
>> >> Yes I totally admit my confusing line by defining time periods as time
>> >> variable, but what I have understood so far (which is very limited)
>> >> about panel data fixed effects, is that there should be observations
>> >> for two time periods atleast, even if not the time is not existing in
>> >> the data.
>> >
>> >
>> > This is not my strong area, but I think the key thing is that you need
>> > two
>> > or more of something; it doesn't need to be time periods, it could, for
>> > example, be siblings. As far as I can tell, the -clogit- command is
>> > pretty
>> > much the same as -xtlogit, fe- and yet the manual's examples given for
>> > -clogit- are very different than the examples for -xtlogit, fe- .
>> >
>> >
>> >
>> > -------------------------------------------
>> > Richard Williams, Notre Dame Dept of Sociology
>> > OFFICE: (574)631-6668, (574)631-6463
>> > HOME:   (574)289-5227
>> > EMAIL:  Richard.A.Williams.5@ND.Edu
>> > WWW:    http://www.nd.edu/~rwilliam
>> >
>> > *
>> > *   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/
>>
>>
>>
>> --
>>
>> Best
>> ---------------------------
>> Muhammad Anees
>> Assistant Professor/Programme Coordinator
>> COMSATS Institute of Information Technology
>> Attock 43600, Pakistan
>> http://www.aneconomist.com
>>
>> *
>> *   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/
>
>
> -------------------------------------------
> Richard Williams, Notre Dame Dept of Sociology
> OFFICE: (574)631-6668, (574)631-6463
> HOME:   (574)289-5227
> EMAIL:  Richard.A.Williams.5@ND.Edu
> WWW:    http://www.nd.edu/~rwilliam
>
> *
> *   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/

*
*   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/