Re: st: reference for simulation of biased estimates with logit and dummies

["Rosy Reynolds" <rr@dandr.demon.co.uk>]

Thanks very much, Arne. That certainly looks useful, I'll get down to the 
library to request it.
Rosy

----- Original Message ----- 
From: "Arne Risa Hole" <arnehole@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, February 07, 2008 11:53 AM
Subject: Re: st: reference for simulation of biased estimates with logit and 
dummies



> Hi Rosy,
>
> I don't know whether the simulations by Gould et al. were published
> but you might find this paper useful:
>
> <http://www.res.org.uk/journals/abstracts.asp?ref=1368-4221&vid=7&iid=1&aid=123>
>
> Arne
>
> On 07/02/2008, Rosy Reynolds <rr@dandr.demon.co.uk> wrote:
> > Hi,
> > I have data where I expect clustering by centre, and have read repeatedly 
> > on
> > Statalist that adding centre dummies to represent fixed effects produces
> > biased estimates unless the number of observations in each centre is 
> > large.
> > David Harless in Oct 2007
> > (http://www.stata.com/statalist/archive/2007-10/msg00926.html) helpfully
> > pasted a detailed explanation from Bill Gould and Vince Wiggins from Feb
> > 2000, which includes mention of a simulation study showing that the bias
> > really matters: "In the case of logistic regression, however, the 
> > estimates
> > one obtains from including all the dummies are biased and, even as
> > n->infinity, that bias never goes away. Vince Wiggins 
> > <vwiggins@stata.com>
> > and I recently simulated this and discovered that this not a sterile,
> > theoretical argument -- the estimates on obtains for the parameters are
> > genuinely bad." I think the same simulation was alluded to again in 2003
> > (http://www.stata.com/statalist/archive/2003-09/msg00103.html) and 2007
> > (http://www.hsph.harvard.edu/cgi-bin/lwgate/STATALIST/archives/statalist.0710/date/article-934.html).
> > I would like to cite this simulation, or something similar, but have not
> > managed to find any more detail. Could anyone please direct me to a
> > reference or confirm that it was internal work and not formally 
> > published?
> > (I was also unable to find the Feb 2000 Statalist entry. It seems that 
> > the
> > archive does not go back so far. Is that right?)
> > Thanks to anyone and everyone who can help.
> > Rosy Reynolds
> >
> >
> >
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