The STata xtlogit command withthe fixed-effects option actually estimates a conditional logistic regression model. - David Greenberg, Sociology Department, New York University
----- Original Message -----
From: Scott Merryman <[email protected]>
Date: Friday, January 10, 2003 8:50 pm
Subject: st: Re: How to get specific coef. in a fixed effects panel logit regression
> ----- Original Message -----
> From: "Rudy Loo-Kung" <[email protected]>
> To: <[email protected]>
> Sent: Friday, January 10, 2003 4:46 PM
> Subject: st: How to get specific coef. in a fixed effects panel
> logit regression
> >
> > Greetings,
> > I estimated a fixed effects panel logit regression using xtlogit
> and i need
> > to recover the individual-specific intercepts. Does xtlogit
> allow to do so?
> > I'd really appreciate some help.
> > Thanks.
> >
> > Rudy Loo-Kung A.
> > Asistente del �rea de Macroeconom�a y Pol�tica Econ�mica.
> > Centro de Investigaci�n de la Universidad del Pac�fico.
>
> I do not believe this is possible. The individual effects cannot
> be estimated
> for a fixed T. From Hsiao (1986) "Unfortunately, contrary to the
> linear-regression case, the MLEs for ai and B are not independent
> of each other
> for the discrete choice models. When T is fixed, the
> inconsistency of ai is
> transmitted into the MLE for B. Hence, even if N tends to
> infinity, the MLE of
> B remains inconsistent"
>
> The away around this incidental parameter problem is to maximize a
> conditionallikelihood function that sweeps away the individual
> effects.
> I hope this helps,
> Scott
>
> Hsiao, Cheng (1986) "Analysis of Panel Data"
>
>
>
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>
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