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st: Inconsistent number and maximum size of groups using -xtlogit, fe-
From |
"David W. Harless" <[email protected]> |
To |
[email protected] |
Subject |
st: Inconsistent number and maximum size of groups using -xtlogit, fe- |
Date |
Wed, 11 Apr 2007 11:42:32 -0400 |
I am estimating a model using conditional logit/fixed-effects logit, but using the command
-xtlogit, fe- because it reports (and saves in e()) information on the number and size of
groups. But in a sample with some very large group sizes, the number of groups and the
maximum size of group from -xtlogit, fe- is different than what I calculate directly.
For example:
********************************************************************************
. xtlogit adverse x , fe i(g1)
note: multiple positive outcomes within groups encountered.
note: 19918 groups (525174 obs) dropped due to all positive or
all negative outcomes.
Iteration 0: log likelihood = -11648.872
Iteration 1: log likelihood = -11647.283
Iteration 2: log likelihood = -11647.282
Iteration 3: log likelihood = -11647.282
Conditional fixed-effects logistic regression Number of obs = 1522444
Group variable (i): g1 Number of groups = 597
Obs per group: min = 2
avg = 2121.8
max = 31712
LR chi2(1) = 3.76
Log likelihood = -11647.282 Prob > chi2 = 0.0524
------------------------------------------------------------------------------
adverse | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x | -.1458831 .0743596 -1.96 0.050 -.2916254 -.0001409
------------------------------------------------------------------------------
. keep if e(sample)
(525174 observations deleted)
. collapse (count) adverse, by(g1)
. summ adverse, d
(count) adverse
-------------------------------------------------------------
Percentiles Smallest
1% 2 2
5% 11 2
10% 36 2 Obs 603
25% 145 2 Sum of Wgt. 603
50% 505 Mean 2524.783
Largest Std. Dev. 6166.928
75% 1734 36928
90% 5423 47192 Variance 3.80e+07
95% 14684 48473 Skewness 4.51094
99% 31712 51907 Kurtosis 26.67479
. disp r(sum)
1522444
. count if adverse<=31712
597
*******************************************************************************
Hence, when I use -collapse- to calculate the number and sizes of groups, I obtain 603
groups (compared to 597 in -xtlogit, fe-) and find six groups having more members than the
maximum group size reported by -xtlogit, fe- (31,712).
I note that if I go back to my original data set and use only the groups with more than
31712 observations, the number of groups is indicated as 0 and there are missing values
for the number of observations per group:
**********************************************************************************
. quietly bysort g1: gen grp_cnt = _N
. xtlogit adverse x if grp_cnt>31712, fe i(g1)
note: multiple positive outcomes within groups encountered.
Iteration 0: log likelihood = -1205.835
Iteration 1: log likelihood = -1205.8343
Iteration 2: log likelihood = -1205.8343
Conditional fixed-effects logistic regression Number of obs = 255748
Group variable (i): g1 Number of groups = 0
Obs per group: min = .
avg = .
max = .
LR chi2(1) = 1.31
Log likelihood = -1205.8343 Prob > chi2 = 0.2533
------------------------------------------------------------------------------
adverse | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x | .3934376 .3650677 1.08 0.281 -.3220821 1.108957
------------------------------------------------------------------------------
**********************************************************************************
I am using an updated Stata/MP for 64-bit Windows:
. about
Stata/MP 9.2 for Windows 64-bit x86-64
Born 06 Feb 2007
Dave Harless
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