Jared Gross is inquiring about the use of -nlogit-:
> I'm trying to use the nlogit command in Stata 10 to estimate a
> degenerate model of mergers and acquisitions. Unfortunately,
> I keep getting the error:
> "no cases remain after removing invalid observations."
> My data looks like the following:
>
> Ticker Year Covariates GoesPrivate PublicTakeover Event ContinuesIndep
> A 1999 x 0 0 0 1
> A 2000 x 0 1 1 0
> B 1998 y 0 0 0 1
> B 1999 z 0 0 0 1
> B 2000 z 1 0 2 0
>
>
> And the model I want to estimate is:
>
> Company either (1) has ContinuesIndependently == 1 OR (2) is subject
> to Event == 1 | Event == 2
>
> If Event == 1 | Event == 2, then either (A) GoesPrivate == 1 OR (B)
> PublicTakeover == 1, so that I have a nested model in which the first
> logit determines whether a company continues <in my data> to the next
> year or exits through "Takeover" (i.e. Event == 1 | Event == 2); and
> then a second, degenerate stage in which the company, if Takeover == 1,
> either GoesPrivate == 1 or PublicTakeover == 1.
>
> How do I estimate this? I tried to use the following commands:
>
>
> . egen id = group(ticker)
> . nlogitgen takeoverType = Event(Cont: 0, takeover: 1|2)
> . nlogit GoesPrivate covariates || takeoverType: other_covariates,
> + base(cont) ||, case(id)
The alternatives variable should be the Event variable and it should
be specified after the last || in the -nlogit- model specification. I
believe the hierarchy should look like the following
takeovertype Event
------------------------------
takeover |------ 2 (private)
|------ 1 (public)
Cont ------ 0 (degenerate)
For each case coded in the -id- variable one event must occur which is
coded in the dependent variable as an indicator. The dependent variable
specified in this model is -GoesPrivate- an indicator for Event==2 (I
think) so this does not look valid.
I am thinking the model specification should look something like:
. nlogit choice covariates || takeoverType: other_covariates,
> base(Cont) || Event:, case(id)
There must be another variable in his data set that indicates which Event
did occur.
I hope this helps.
-Rich
[email protected]
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