looks like you know much more about this than I do. Statisticians seem
to have much more use for random effect models, compared to
econometricians...
I guess where that leaves us is that you can get robust standard
errors for a random effects poisson model (by using gllam instead of
xtpoisson, re), but the same does not hold true for the conditional
fixed effects model of Hall, Hausman and Griliches 1984.
Regards,
Pierre
-- Your first model is conditional fixed effects, which wouldn't be matched by
what -gllamm- gave. Your second is the similar to what I had -gllamm- do,
but I believe -xtpoisson- uses a gamma distribution and not normal
distribution for the random effect by default, so it won't match exactly,
either. You might get even closer to what -gllamm- gave if you opted
for -xtpoisson , . . . re normal intmethod(aghermite) intepoints(8)-,
instead. Note that even then, there would be the -robust- option difference
between the two.
I'm not aware of -gllamm- being used to fit conditional fixed effects
models.
----------------------------------------------------------------------------------
Pierre Azoulay
Associate Professor of Management
Columbia University Phone: (212) 854-9684
Graduate School of Business Fax: Don't send any
3022 Broadway, Uris Hall 704
New York, NY 10023 http://www.columbia.edu/~pa2009/
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