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Re: st: Nested logit, bivariate probit or Heckman probit?
From
Sriram Narayanamoorthy <[email protected]>
To
[email protected]
Subject
Re: st: Nested logit, bivariate probit or Heckman probit?
Date
Tue, 27 Aug 2013 11:26:39 -0700
Further to my response from before - if you are trying to estimate a
separate parameter on firm size for both levels - you cannot do that.
The utility expression of a higher level nest will enter the utility
expression of the alternatives of the lower nest. If you have the same
variable specified both higher and lower level there will be a matrix
inversion problem. I would recommend that you introduce firm size at
the lowermost level and use the normalized nested logit approach.
On Mon, Aug 26, 2013 at 5:21 PM, XIAOFEI XING <[email protected]> wrote:
> Dear Statalist,
>
> I investigate in whether big firms tend to retain top-tier financial advisors to make takeover deals and whether they tend to make in-house deals (no financial advisors retained). I specify a two-level nested model. The tree is shown as follows:
>
> Advisor Selection
> Retaining Advisors In-House Deals
> Top-Tier Advisors Non-Top-Tier Advisors In-House Deals
>
>
> Level 1 is retaining advisors/in-house deals contrast. In other words, I investigate whether big firms tend to retain financial advisors or conduct in-house deals.
>
> In Level 2, for deals that retain advisors, I investigate whether big firms tend to retain top-tier advisors rather than non-top-tier advisors.
>
> Therefore, in each level, I should include a same variable - "FirmSize". However, Stata tell me: "variable FirmSize is specified in more than one equation; this is not allowed."
>
> How can I address this issue? Does it mean that the same independent variable cannot be used in the two levels of a nested logit model?
>
> I also check the definition of bivariate probit model and Heckman probit. However, I don't think my case is suitable to the bivariate probit or Heckman probit.
>
> Thanks a lot.
>
> Xiaofei Xing
>
>
> *
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--
Sriram Narayanamoorthy
Graduate Research Assistant
email: [email protected]
Department of Civil, Architectural and Environmental Engineering
The University of Texas at Austin
*
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