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st: RE: xtlogit

From   "Gustavo Sanchez" <[email protected]>
To   <[email protected]>
Subject   st: RE: xtlogit
Date   Wed, 9 Mar 2005 16:15:00 -0600

Maria [[email protected]] asked:

>I've run a random effects model using xtlogit (attaching output below) and
>have two questions:

>1) what does the note at the end of the output "77 completely determined
>panels" means?
>2) How are sigma_u and rho estimated and what could be the reasons to not
>get an estimate?

>I can give more details about what I'm trying to do if necessary.

>Does anyone can help me?

>Thanks, Maria

Please, look at the FAQ for completely determined observations for -logit-
(it also applies to completely determined panels for -xtlogit-):

Regarding rho and sigma:

	- rho is obtained as: rho = (sigma_u)^2 / ((sigma_u)^2 + (sigma_e)^2)

	  Where sigma_u and sigma_e correspond to the unobserved individual
	  specific component  and the idiosyncratic component of the error term:

		error = u_i + e_i_t

	 (See page 135 of the cross-sectional time-series manual for details)

	- sigma_u, is the standard deviation of the random effect term, which
	  measures the degree of heterogeneity in u_i


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