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From | joe j <joe.stata@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: fixed effects glm - fractional dependent variable |
Date | Thu, 29 Mar 2012 16:10:04 +0200 |
Dear all, I have a panel data with the dependent variable being a faction, including some zeros (about 1%) and ones (about 10%). These 0s and 1s are real outcomes indeed (that is, not the results of censoring). So I am going in favor of a glm model as proposed in the literature (e.g. Papke, Leslie E. and Jeffrey M. Wooldridge. 1996. Econometric Methods for Fractional Response Variables with an Application to 401(k) Plan Participation Rates. Journal of Applied Econometrics 11(6):619-632.): "glm dependent_variable independent_variable, family(binomial) link(logit) robust" What I would like to do is run a fixed effect model. However, there are too many dummy variables to create (over 16,000 in a sample of over 40,000 observations); moreover, I am not sure dummy variable approach is appropriate given the non-linear nature of the model. My first thought was to use: vce(cluster panel_variable) Is that the closest I could get to a fixed effect model? Thanks, Joe. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/