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Re: st: negative binomial models with large fixed effect group size
KW,
I'm only guessing what you might have read, but there's nothing
"unconventional" about -xtnbreg, fe- . The fixed effects in the negative
binomial setting are multiplicative, not additive, but that's perfectly
"conventional" for models with exponential conditional means.
Cheers,
Partha
KBW wrote:
Hi Statalist,
1) I am having trouble making sense of the best route to take regarding
fixed effects and negative binomial regression. I have approximately
5,000 individuals with an average of 10 observations each that I would
like to obtain fixed effects estimates (within-individuals) for in a
negative binomial regression. I've read the "xtnbreg, fe" does not
perform a conventional individual fixed effects estimator, but that I
can obtain what I am looking for by running nbreg with dummy variables
for each individual and then correcting the standard errors afterwards.
The problem is that it is challenging, if not realistically impossible,
time-wise, to run these models with 5,000 dummy variables. Does anyone
know of an alternative way to achieve this goal (in Stata, or even
another package)?
2) In addition, if I were to run nbreg with dummy variables for the
fixed effects, how does one interpret time-invariant independent
variables in models? I realize that in theory time-invariant variables
and fixed effects don't make sense, but in the few test models I have
run (with smaller subsets of the dataset and using reg instead of nbreg)
running "reg" with fixed effect dummy variables produces the same
coefficients as "xtreg" for the time-variant variables, but "xtreg"
drops the time-invariant one (expected) and "reg" does not. What, then,
is the meaning of the "reg" output for time-invariant variables when
individual dummies have been included in the model?
Thanks very much for your assistance!
KW
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--
Partha Deb
Department of Economics
Hunter College
ph: (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/
Emancipate yourselves from mental slavery
None but ourselves can free our minds.
- Bob Marley
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