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Re: st: Fixed effects ordinal probit regression


From   "Guillaume Frechette" <gurst1@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fixed effects ordinal probit regression
Date   Fri, 05 Sep 2003 12:50:45 +0000

Hi Jim: as others have already hinted at, you cannot simply add dummies (well you can but it doesn't provide a consistent estimator). This is sometimes referred to as the incidental parameters problem. Alternatively you can estimate a random effects ordered probit (findit reoprob or findit gllamm).

Best,

Guillaume :-?



Dear Sirs,

I was wondering if there is such a thing as fixed effects ordinal probit
regression.  If so, could one simply add dummy variables for the panel
indicator (e.g., subject id) to the ordinal probit model to obtain fixed
effects estimates?  Also, when estimating a fixed effects regression model
with a subject-level effect, how problematic is it if there are missing
observations on the dependent variable for some subjects (i.e., unbalanced
panels)?

Thank you very much.

Best Regards,

Jim Shaw
Graduate Research Associate
College of Pharmacy
The University of Arizona
<< Shaw,JamesW..vcf >>
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