Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: xtlogit: panel data transformation's recast to double makes model incomputable


From   Tom <tommedema@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtlogit: panel data transformation's recast to double makes model incomputable
Date   Wed, 3 Apr 2013 12:38:11 +0200

"Your various models all
appear to be implying that there is no dependence other than implied
by the panel structure, that is to say that prices at successive dates
for the same panel are mutually independent, which seems a very strong
assumption to me."

This is not my intention. I've set the within-group date for this
exact reason. Why do you suspect that I am assuming such independence
among dates within the same group?

Or mayhaps your intentions will become clear to me if you tell me what
you'd suggest me to do. At the moment I'm not quite sure.

Thank you. I will use the - character from now on to indicate commands.

Tom

On Wed, Apr 3, 2013 at 11:46 AM, Nick Cox <njcoxstata@gmail.com> wrote:
> I think you are missing my point. Time series have some kind of
> dependence structure, unless they happen to be white noise. Ignoring
> that dependence won't make it disappear. Your various models all
> appear to be implying that there is no dependence other than implied
> by the panel structure, that is to say that prices at successive dates
> for the same panel are mutually independent, which seems a very strong
> assumption to me.
>
> A tiny point of presentation, yet another covered in the FAQ. Left
> ticks around command names such as `tsset` have no special effects on
> Statalist; the convention recommended is exemplified by -tsset-.
>
> Nick
>
> On 3 April 2013 10:13, Tom <tommedema@gmail.com> wrote:
>> Hi Nick,
>>
>> They are time series. `tsset` returns:
>>
>> panel variable:  ticker_id (unbalanced)
>> time variable:  date, 101 to 532
>> delta:  1 unit
>>
>> Each group has its own continuous time frame, ranging from 101 to 532
>> (the first 100 dates have been dropped because they were required to
>> create lagged variables).
>>
>> The only issue that I could possible see arising from time series is
>> that the dates are not "synchronised" inbetween groups. With this I
>> mean that t == 200 is a different point in time for id == 1 than t ==
>> 200 for the group with id == 2.
>>
>> But I don't think time series are the issue because clogit is not
>> using them (it only uses the panel id variable), and it is returning
>> exactly the same results as xtlogit.
>>
>> I was hoping that something obvious would arise from the many log
>> files I submitted a couple of posts back :)
>>
>> Tom
>>
>>
>> On Wed, Apr 3, 2013 at 10:04 AM, Nick Cox <njcoxstata@gmail.com> wrote:
>>> As if there weren't enough problems, what is the assumption here about
>>> time series structure? I may have missed something in a complicated
>>> thread, but the original data look like time series to me.
>>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index