I am estimating a fixed effect logit model with persons as my fixed unit. I
want to test whether there is sufficient variation among persons to justify
the use of a fixed effects model. In a fixed effects model (xtreg), STATA
provides an F test following the model testing whether there is variation in
the person specific interceptss are equal to zero. I noticed when
estimating a fixed effects logit model (xtlogit) that there is no
corresponding test.
My two questions are:
(1) Is there a corresponding F test for a fixed effect logit model?
(2) If not, is there a way for me to test whether there is significant
variation in the person-specific intercepts in a fixed effect logit
framework?
