Scott,
Yes it does: thanks for that! :-)
The id variable in my dataset is just a variable denoting the serial
number given to each respondent. I've just noticed that the numbering
sequence is not cardinal. Does this matter, not just for using -xt*- but
when using
-tsset-?
C.
> ----- Original Message -----
> From: "Clive Nicholas" <[email protected]>
> To: <[email protected]>
> Sent: Tuesday, October 28, 2003 7:46 PM
> Subject: st: R-SQUARED AND XTGEE
>
>
>
>>
>> (1) I cannot successfully fit an -xtgee- model (ie, xtgee [depvar]
>> [varlist], family(binomial) link(probit) i(id) t(waves38)). All I get is
>> this error message: "estimates diverging (absolute correlation > 1)
>> r(430);". Uhh? And how can this be got round?
>
> Is the model identified? Does your id variable perfectly predict the
> dependent
> variable?
>
>>
>> (2) An expert in pooled analysis taught us in the summer that if you're
>> fitting fixed-effect models, you *must* choose logit. If a
>> random-effects
>> model is chosen, then *probit* must be used. Can anybody tell me why
>> this
>> is, especially since you can, eg, fit random-effect logit models with
>> Stata?
>>
>
> The fixed effects probit model suffers from the incidental parameter
> problem
> (see Lancaster, 2000 "The incidental parameter problem since 1948" Journal
> of
> Econometrics) As N goes to infinity, for a fixed T, the number of fixed
> effects
> increase with N. This means that they cannot be consistently estimated
> given a
> fixed T.
>
> A fixed effects (conditional) logit is able to get around this problem by
> maximizing the conditional likelihood function that sweeps away the
> individual
> effects. In the logit model the conditional distribution does not depend
> on the
> individual effects.
>
>
> Hope this helps,
> Scott
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
Yours,
CLIVE NICHOLAS,
Politics Building,
School of Geography, Politics and Sociology,
University of Newcastle-upon-Tyne,
Newcastle-upon-Tyne,
NE1 7RU,
United Kingdom.
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
