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From | "Marc Michelsen" <marcmichelsen@t-online.de> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: Fixed effects logit model |
Date | Mon, 19 Jul 2010 14:53:59 +0200 |
Dear Statalist-users, I am estimating a logit model for a panel style data set. In order to guarantee unbiased estimation, I have used company, industry and/or offer year clusters (per Petersen, 2009). For my linear regressions I have made positive experience with fixed-effects models. Their application for binary outcome models is not as straightforward because the models rely solely on within-variance. Running a fixed-effect logit model (-xtlogit, fe) shows highly significant coefficients of my key variables, which would be very beneficial for my study. However, more than 50% of my observations get lost in the regression because of zero within variance. Is it consistent to show also a fixed effects logit model beside standard logit models clustered by the above mentioned characteristics. What do I have to keep in mind when interpreting the results (especially relative to the other ML models)? Is it possible to calculate marginal effects for such a fixed effects model (similar to Cameron/Trivedi, 2009, p. 516? Thank you for considering this posting. Regards Marc Cameron, A. C., and P. K. Trivedi. Microeconometrics using stata: Stata Press (2009). Petersen, M. A. "Estimating standard errors in finance panel data sets: Comparing approaches." Review of Financial Studies 22 (2009), 435. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/