Re: st: fractional response using xtgee - correct implementation of random effects and fixed effectst?

[Asmund.Rygh@bi.no]

A correction to what I just wrote: The Papke and Wooldridge (2008) file 
math4_boot_exog_gee.do  posted at http://econ.msu.edu/faculty/papke/ must 
of course
be the file for exogenous explanatory variables, and the first step in the 
excerpt from the code below appears to be for the "working correlation 
matrix" (p. 124 in the article).

glm math4 lavgrexp alavgrexp lunch alunch lenroll alenroll y96-y01 if 
year>1994, fa(bin) link(probit) cluster(distid)
mat b = e(b)

xtgee math4 lavgrexp lunch lenroll alavgrexp alunch alenroll y96-y01, 
fa(bi) link(probit) corr(exch) robust from(b,skip)

To reiterate, my questions are then: 
 - Do the a-prefixed variables refer to time averages?
 - Do the inclusion of these time averages correspond to a fixed effects 
set-up?
 - How can implement a random effects set-up?

Best,
Asmund





From:   Asmund.Rygh@bi.no
To:     statalist@hsphsun2.harvard.edu, 
Cc:     owner-statalist@hsphsun2.harvard.edu
Date:   04.07.2013 14:30
Subject:        Re: st: fractional response using xtgee - correct 
implementation of random effects and fixed effectst?
Sent by:        owner-statalist@hsphsun2.harvard.edu



Nick,

thank you for your reply. First of all: I am sorry if my comment about 
"not answered yet" came across as some sort of criticism. My only reason 
for including it was
to indicate that the specific information I need is not already out there 
on Statalist, in which case I would be wasting people's time to ask it 
again. Unfortunately, as you point out I also inserted 
the wrong link (the correct one is 
http://www.stata.com/statalist/archive/2012-01/msg00595.html).and 
therefore I realize it appeared that I missed the responses from Kelvin. I 

am certainly not 
implying that Kelvin's responses were not helpful: Indeed they were. 
However, they mainly concerned the issue of unbalanced panels (which is 
not an issue for me), rather than the implementation 
of random or fixed effects (at least as far as I can see). Anyway, I will 
try to be more precise next time I post something.

Thank you also for the link to Papke's home page. I did actually already 
have a look at this webpage and the files before I posted my first mail, 
However,  just by looking at the code I am still a bit unsure about 
whether they
include fixed or random effects. The relevant excerpt from the code (in 
the file math4_boot_exog_gee.do) posted on the webpage is, I guess:

glm math4 lavgrexp alavgrexp lunch alunch lenroll alenroll y96-y01 if 
year>1994, fa(bin) link(probit) cluster(distid)
mat b = e(b)
xtgee math4 lavgrexp lunch lenroll alavgrexp alunch alenroll y96-y01, 
fa(bi) link(probit) corr(exch) robust from(b,skip)

My guess would be that the first step (-glm-) of this code is the first 
step in the two-step procedure discussed in section 4 in the 2008 article. 

I would also guess that the a-prefixes on the variables here could refer 
to
"average". This is why I wanted to get some more information about the 
files (but, as mentioned, I am not able to access 
https://www.msu.edu/~ec/faculty/papke/papke.html where I assume such 
information can be found). I am still also unsure
about whether omitting variables such as "alunch" means that it will be a 
random effects model. Therefore, further advice would be much appreciated.

Best,
Asmund














From:   Nick Cox <njcoxstata@gmail.com>
To:     "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>, 


Date:   04.07.2013 13:51
Subject:        Re: st: fractional response using xtgee - correct 
implementation of random effects and fixed effectst?
Sent by:        owner-statalist@hsphsun2.harvard.edu



The 2012 link you give here is to a discussion in 2013.

Otherwise I went to Leslie Papke's home page
http://econ.msu.edu/faculty/papke/ and found a link to Stata code
there.

As a kind of meta-comment it is important to realise that absolutely
no mechanism ensures that Statalist questions will be answered. It is
entirely up to individuals to decide what they wish to answer.

In the particular case of
http://www.stata.com/statalist/archive/2013-06/msg00434.html there
were several helpful replies from Kelvin Mulungu.

But "not answered yet", even when correct,  means no more than it
says. It doesn't mean waiting in a queue.

Nick
njcoxstata@gmail.com

On 4 July 2013 12:23,  <Asmund.Rygh@bi.no> wrote:
> (First line)
>
> Dear Statalist members,
>
> I would like to model the degree of internationalization of firms (a
> fractional variable bounded between 0 and 1) using a strongly balanced
> panel of 30 firms over an 11-year period, and test both the use of fixed
> and of random effects. I am using Stata 12.
>
> I have read Papke and Wooldridge's (2008) article Panel data methods for
> fractional response variables... (see
> http://www.sciencedirect.com/science/article/pii/S030440760800050X) and
> consulted the archives of Statalist. I found one relevant thread from 
2012
> at http://www.stata.com/statalist/archive/2013-06/msg00517.html as well 
as
> a very recent one (last post 12 June) at
> http://www.stata.com/statalist/archive/2013-06/msg00434.html which does
> not appear to have been answered yet.
>
> In the first link from 2012 it is suggested to go to the website of 
Leslie
> Papke at https://www.msu.edu/~ec/faculty/papke/papke.html where one 
"would
> find lots of invaluable information with detailed codes as to how
> implement in case of panel data". Perhaps, the answers to my question
> could be found here. However, I am not able to access this site and the
> following message is returned: You don't have permission to access
> /~ec/faculty/papke/papke.html on this server. Thus, my first question is
> simply whether somebody knows if I can access the material in Papke's
> webpage from somewhere else? I have made extensive searches on the web 
but
> couldn't find anything.
>
> To my main question: From the discussion in the above threads (as well 
as
> my experience with using random effects and fixed effects in Stata for
> normal variables), I am sort of guessing that the following two commands
> using -xtgee- will achieve what I want:
>
> Random effects: xtgee dependent_variable independent_variables,
> family(binomial) link(logit) vce(robust)
>
> Fixed effects: xtgee dependent_variable independent_variables
> time_averages_independent_variables, family(binomial) link(logit) robust
>
> In the first case, I set firm and year as the panel variables (-xtset-)
> and the output states that the group variable is firm. In the second 
case,
> which I did not test yet, my interpretation of the discussion in PW2008
> (see p. 123) and at the above mentioned links is that including time
> averages will give me the fixed effects. Is this correct?
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