Re: st: negative binomial models with large fixed effect group size

[Partha Deb <partha.deb@hunter.cuny.edu>]

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/

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