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Re: st: negative binomial models with large fixed effect group size


From   Partha Deb <[email protected]>
To   [email protected]
Subject   Re: st: negative binomial models with large fixed effect group size
Date   Fri, 06 Apr 2007 22:15:49 -0400

KW,

I'm only guessing what you might have read, but there's nothing "unconventional" about -xtnbreg, fe- . The fixed effects in the negative binomial setting are multiplicative, not additive, but that's perfectly "conventional" for models with exponential conditional means.

Cheers,

Partha

KBW wrote:

Hi Statalist,
1) I am having trouble making sense of the best route to take regarding fixed effects and negative binomial regression. I have approximately 5,000 individuals with an average of 10 observations each that I would like to obtain fixed effects estimates (within-individuals) for in a negative binomial regression. I've read the "xtnbreg, fe" does not perform a conventional individual fixed effects estimator, but that I can obtain what I am looking for by running nbreg with dummy variables for each individual and then correcting the standard errors afterwards. The problem is that it is challenging, if not realistically impossible, time-wise, to run these models with 5,000 dummy variables. Does anyone know of an alternative way to achieve this goal (in Stata, or even another package)?

2) In addition, if I were to run nbreg with dummy variables for the fixed effects, how does one interpret time-invariant independent variables in models? I realize that in theory time-invariant variables and fixed effects don't make sense, but in the few test models I have run (with smaller subsets of the dataset and using reg instead of nbreg) running "reg" with fixed effect dummy variables produces the same coefficients as "xtreg" for the time-variant variables, but "xtreg" drops the time-invariant one (expected) and "reg" does not. What, then, is the meaning of the "reg" output for time-invariant variables when individual dummies have been included in the model?

Thanks very much for your assistance!
KW

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--
Partha Deb
Department of Economics
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

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