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Re: st: RE: help needed for fixed effects Negative Binominal regression model


From   Scott Cunningham <scunning@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: help needed for fixed effects Negative Binominal regression model
Date   Mon, 13 Mar 2006 12:18:31 -0500

Second, I have no experience in STATA. If anyone has experience using
fixed
effects Poisson or negative binominal model, can you share some of the
syntax
with me? I checked the manual and it looks it's not too hard, but any help
will
be appreciated.
I've been estimating a Poisson with fixed effects, and one thing you may want to know is that the -xtpoisson- does not have a way of correcting the standard errors for overdispersion. What you can do is estimate empirical standard errors through bootstrapping in - xtpoisson- by:

. xi: xtpoisson depvar indepvar i.year, fe i(id) vce(boot)

And this will run -xtpoisson- on the data, then run a bootstrapping to create the estimated robust standard errors (clustered on id). But, I later discovered, through someone else on the listserv, how to estimate the robust standard errors the way Cameron and Trivedi (2004 or 2005 I forget which - MICROECONOMICS book) show. You have to use the -poisson- rather than -xtpoisson- like so:

xi:poisson depvar indepvar i.year i.id, robust

This will estimate poisson with fixed effects, and correct for overdispersion.

sc

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