Re: st: an estimation method question

[xiang ao <xao@hbs.edu>]

Thanks a lot, Maarten.  That's very helpful.

Best,

Xiang

Maarten buis wrote:
> --- On Wed, 17/3/10, Xiang Ao wrote:
>   
> > I am thinking whether we can do a maximum likelihood with
> > some constraints by observation.  That is, assume each
> > share conforms to beta distribution, for example, then
> > within each firm, the shares add up to one.  Would that
> > be valid?
> >     
>
> That distribution is called a Dirichlet distribution. The
> basic version is implemented in -dirifit-. In your case 
> you want to allow for different number of categories and
> add the possibility that variables may have different 
> values across categories, but add the constraint that 
> the effects are constant across categories.
>
> Before you start on such a programming excersise it is 
> good (i.e. absolutely crucial) to know what to expect. 
> So you need to fit a simpler model using existing 
> software that is halfway reasonable. Going with the
> -xtgee- or -glm- suggestion I proposed earlier would 
> be such a way. It won't enforce the sum to one 
> constraints, but in my experience that is almost never
> a problem: if the model is halfway reasonable then the
> predicted proportions will almost always add up to a
> number very close to 1. Adding that constraint later
> on, will thus add only a little bit of extra 
> information, and thus make the standard errors a bit 
> smaller, but I would not expect much more improvement 
> than that. So you might want to consider if such small 
> gains are worth the effort of programming a new 
> procedure. The smaller standard error aren't the only 
> pay-off though: programming is fun!!(but try selling 
> that to your employer...)
>
> Hope this helps,
> Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://www.maartenbuis.nl
> --------------------------
>
>
>       
>
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