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From |
Andreas Schiffelholz <Andreas.Schiffelholz@gmx.de> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 23 Apr 2013 10:03:29 +0200 |

Jeremy, thanks a lot for your fast and detailed answer. One short question just to make sure:

-xtlogit strategy L.strategy L2.strategy L3.strategy L4.strategy company_age company_size industry, re-

Thanks a lot and best wishes Andreas Schiffelholz Am 22.04.2013 22:51, schrieb Jeremy Wells:

Andreas, There is a pretty intense debate over how to model autocorrelation, especially within political science. I would suggest work by Beck and Katz, especially in the Annual Review of Political Science (2011, vol. 14: 331-352). They prefer lagging the dependent variable, but there are other methods. I would also suggest using the time-series operators built into Stata to lag your DV, so your command would look like this: -xtlogit strategy L.strategy company_age company_size industry, re- (I also took out the year variable, because I am not sure how well that would factor in with a lagged DV and the company age variable, though it may not be problematic or they may be unrelated, but I would bet there would be a lot of multicollinearity there.) HTH. Jeremy Wells Ph.D. Student LSU Dept. of Poli. Sci. 324 Stubbs Hall Baton Rouge, LA 70803 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. * * 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/

**References**:**Re: Re: st: xtlogit - lagged dependent variable as independent variable***From:*Jeremy Wells <jwell33@tigers.lsu.edu>

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