My own problem entails a typical panel with sequential choices, much alike
the one you have used in your suggested reference; robustness of results
might then depend on whether the estimated parameter variances refer to the
real problem parameters, hence my question.
Thank you so much for your kind assistance.
Kostas Konstantaras
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Maarten buis
Sent: Wednesday, August 05, 2009 4:40 AM
To: [email protected]
Subject: Re: st: seqlogit consistency
--- On Tue, 4/8/09, KONSTANTARAS KONSTANTINOS wrote:
> having tried to estimate a sequential binary choice model
> by seqlogit and recognizing that only pseudo-likelihood
> estimates are reported, because it uses cluster correction
> for panel data,
Being the author of -seqlogit- I can tell you that this
statement is incorrect: the default behavior of -seqlogit-
is to use maximum likelihood without cluster correction.
You can do so if you want, but that decision is up to you.
There are potential issues with this model that have to do
with unobserved heterogeneity. What I would suggest in that
case is to do a sensitivity analysis, to see whether these
potential issues are actually big enough problems to care
about. I have done one such a study, where the results
proved to be robust. This is just one study, so I will give
no guarantees that this is a general outcome. However,
-seqlogit- has tools to perform just such an analysis, so
you can easily do such a sensitivity analysis on your own
model and convince yourself whether there is or is not a
problem in your case. These tools are discussed here:
http://home.fsw.vu.nl/m.buis/wp/unobserved_het.pdf .
Hope this helps,
Maarten
-----------------------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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