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From |
Nick Cox <njcoxstata@gmail.com> |

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

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

Date |
Wed, 3 Apr 2013 13:02:38 +0100 |

The link is no more than this: fitting the wrong model seems unlikely to help you. Also, Statalist has been explained as a discussion list, not a help line, from its outset; people are not obliged to focus entirely on the question being asked, but feel free to comment on other aspects. My impression from a distance is that the very skewed distributions of your predictors pose possibly your biggest problem, as I said on Cross Validated. On 3 April 2013 12:54, Tom <tommedema@gmail.com> wrote: > I understand what you mean. Note that I did not use any of these other > models until unexpected computational problems appeared. > > I chose for a fixed effects model because I do not expect prices to be > determined randomly, but rather to be inherent to the underlying > company (each group represents a company). I expect each company to > have a (time independent) effect on its prices. Therefore a fixed > effects model seems appropriate. Also, the initial estimates are often > significant and even the simpler model seem to have explanatory and > predictive power. > > You mention that I can decide on another correlation structure for the > observations, but according to the -xtlogit- help this is only > applicable for population average (PA) models. > > I still don't quite see how this could cause the behavior that I'm > seeing though. There are even issues with some independent variables > when they are the only explanatory variable in the model, as shown in > my earlier posts (e.g. -xtlogit depc_gpf30 close, fe-). > > I'm currently trying to determine if any of the companies have extreme > leverage effects that could cause some of the issues. > > Tom > > On Wed, Apr 3, 2013 at 1:04 PM, Nick Cox <njcoxstata@gmail.com> wrote: >> My intentions are to help you think about what you are doing. >> >> I don't think I can advise at all on what's a realistic data >> generation process for your data and therefore I don't have extra >> suggestions for your analyses. Quite apart from anything else, I don't >> think you have said anything much about the data and what underlies >> them, but I've seen enough to know that I am not working on similar >> data. >> >> It is difficult to keep track of the various models that you have >> tried, including -logit-, -xtlogit-, -clogit- and perhaps others. >> Ideally, you should not be trying for whatever will fit, but choosing >> a model because the associated generation process matches your data >> and the problem. >> >> I am asking what are you assuming about the dependence structure of >> your data within panels, and your answer implies to me that you >> haven't thought about it and/or are not aware of the associated >> statistical issues. (Econometric issues, if you prefer.) By choosing >> -xtlogit, fe- you make one set of choices that way, but as the help >> for -xtlogit- explains, other choices allow differing assumptions >> about correlation structure. >> >> Nick >> >> On 3 April 2013 11:38, Tom <tommedema@gmail.com> wrote: >>> "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/ -- Nick njcoxstata@gmail.com * * 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/

**References**:**st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Tom <tommedema@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Maarten Buis <maartenlbuis@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Tom <tommedema@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

**AW: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*"Klaus Pforr" <kpforr@googlemail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Tom <tommedema@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Tom <tommedema@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Tom <tommedema@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Tom <tommedema@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Tom <tommedema@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: xtlogit: panel data transformation's recast to double makes model incomputable***From:*Tom <tommedema@gmail.com>

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