Re: st: st : Prediction using xtlogit

[Jeph Herrin <junk@spandrel.net>]

Sam,

I think you are correct, but the question here specifically concerns
the random effects logit, not the fixed effects model.

thanks,
Jeph


SamL wrote:
> Actually, I am not sure the fixed effects logit explicitly estimates what
> one needs to have estimated to produce the predicted values you are
> seeking.  I think you are estimating the random effects model, and I am
> not sure this translates to that model.
>
> But, the fixed effects logit sweeps the intercepts out, and estimates the
> parameters for the variables that vary.  Lacking an intercept for a case,
> I don't believe one can calculate a predicted value for the case.  It may
> be that the random effects model does something similar, treating the
> errors in the way that the fixed effects logit model treats the
> person-specific intercepts.
>
> But, I've been following this thread to see if someone mentioned this, and
> I don't have access to my econometrics texts at the moment (while
> traveling overseas), so I cannot do a quick check of my own resources to
> confirm this.  But, it would explain the absence of a predicted value
> "switch" on the post-estimation command for xtlogit, I suppose.
>
> Hopefully others will weigh in to clarify.
>
> HTH
> Sam
>
>
>
> On Mon, 5 Mar 2007, Arne Risa Hole wrote:
>
> > Jeph,
> >
> > One way to speed up the estimation would be to run the model first
> > using -xtlogit- and then use the estimated parameters as starting
> > values for -gllamm-. Since you are estimating the same model using
> > only slightly different approaches the coefficients ought to be very
> > similar and therefore -gllamm- *should* only need a couple of
> > iterations to converge.
> >
> > I agree that it doesn't sound like too much extra work is needed to
> > calculate the probabilities using xtlogit.ado as a starting point but
> > perhaps I'm ignoring something here..
> >
> > Arne
> >
> > On 05/03/07, Jeph Herrin <junk@spandrel.net> wrote:
> > > Arne,
> > >
> > > Thanks. I considered this, but -gllamm- takes much longer
> > > to converge (using quadrature) and I need to loop over many
> > > models; the difference in estimation time would be measured
> > > in days.
> > >
> > > It is also curious that -xtlogit- can't provide these
> > > probabilities directly; it must estimate the random effects,
> > > right?
> > >
> > > thanks,
> > > Jeph
> > >
> > >
> > >
> > > Arne Risa Hole wrote:
> > > > Hi Samuele and Jeph,
> > > >
> > > > If you estimate the random effects logit model using -gllamm- rather
> > > > than -xtlogit- you can calculate the probabilities with non-zero
> > > > random effects as well as the random effects themselves using
> > > > -gllapred-. See ch. 9 in "A Handbook of Statistical Analyses using
> > > > Stata" by Sophia Rabe-Hesketh and Brian Everitt for an example.
> > > >
> > > > Hope this helps.
> > > >
> > > > Arne
> > > >
> > > > On 05/03/07, Jeph Herrin <junk@spandrel.net> wrote:
> > > > > I posted this same question *twice* this week, with no answer
> > > > > yet. Please let me know if you learn something.
> > > > >
> > > > > thanks,
> > > > > Jeph
> > > > >
> > > > >
> > > > > Samuele Biasiolo wrote:
> > > > > > After an xtlogit regression, using random effect, there is any
> > > > > method to calculate probability of a positive outcome assuming random
> > > > > effect is NOT zero?
> > > > > > Thanks for help.
> > > > > >
> > > > > > Samuele
> > > > > >
> > > > > >
> > > > > > ------------------------------------------------------
> > > > > > Passa a Infostrada. ADSL e Telefono senza limiti e senza canone Telecom
> > > > > > http://click.libero.it/infostrada4marz07
> > > > > >
> > > > > >
> > > > > >
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