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Re: st: xtlogit - lagged dependent variable as independent variable


From   Andreas Schiffelholz <Andreas.Schiffelholz@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtlogit - lagged dependent variable as independent variable
Date   Mon, 22 Apr 2013 20:22:44 +0200

Sorry, the Stata command mentioned below got messed up:

- xtlogit strategy strategy_lag1 company_age company_size industry year, re -

Andreas


Am 22.04.2013 20:15, schrieb Andreas Schiffelholz:
Hello,

I'm currently working with a company dataset in the form of an unbalanced panel (overall sample size: 1.300 company years, T: 10, X: ~170 different companies). One of two strategic types was assigned to each of the company years. To get a better understanding, why companies are pursuing a specific strategic type, I am using a random effects model -xtlogit, re-:

- xtlogitstrategystrategy_lag1company_agecompany_sizeindustryyear, re -
with "industry" and "year" being a set of dummy variables.

Part of this model is the independent variable "strategy_lag1" which is the strategic type (dependent variable) of the previous year. This variable is added to get a better understanding of the stability of the strategic type in terms of time. As far as I know there is an adjustment of the model needed when adding lagged dependent variables to the model. I did find the -xtabond- command for linear models, which is using the adjustment procedure suggested by Arellano, Bond (1991). For the xtlogit model I did not find a comparable command.

Given the characteristics of my data set, is there an adjustment of the standard -xtlogit, re- model needed? Does the answer to this question change if I add additional variables with longer lags to the regression (strategy_lag2, strategy_lag3, …)? If so, is this adjustment implemented into Stata or does anybody know a user programmed command dealing with this issue?

Thanks very much,
Andreas Schiffelholz

P.S.: This is my first time posting something on Statalist. If the description of my problem is not precise enough or if I broke a specific rule of the list, please let me know.

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