Re: st: xtlogit: panel data transformation's recast to double makes model incomputable

[Nick Cox <njcoxstata@gmail.com>]

My intentions are to help you think about what you are doing.

I don't think I can advise at all on what's a realistic data
generation process for your data and therefore I don't have extra
suggestions for your analyses. Quite apart from anything else, I don't
think you have said anything much about the data and what underlies
them, but I've seen enough to know that I am not working on similar
data.

It is difficult to keep track of the various models that you have
tried, including -logit-, -xtlogit-, -clogit- and perhaps others.
Ideally, you should not be trying  for whatever will fit, but choosing
a model because the associated generation process matches your data
and the problem.

I am asking what are you assuming about the dependence structure of
your data within panels, and your answer implies to me that you
haven't thought about it and/or are not aware of the associated
statistical issues. (Econometric issues, if you prefer.) By choosing
-xtlogit, fe- you make one set of choices that way, but as the help
for -xtlogit- explains, other choices allow differing assumptions
about correlation structure.

Nick

On 3 April 2013 11:38, Tom <tommedema@gmail.com> wrote:
> "Your various models all
> appear to be implying that there is no dependence other than implied
> by the panel structure, that is to say that prices at successive dates
> for the same panel are mutually independent, which seems a very strong
> assumption to me."
>
> This is not my intention. I've set the within-group date for this
> exact reason. Why do you suspect that I am assuming such independence
> among dates within the same group?
>
> Or mayhaps your intentions will become clear to me if you tell me what
> you'd suggest me to do. At the moment I'm not quite sure.
>
> Thank you. I will use the - character from now on to indicate commands.
>
> Tom
>
> On Wed, Apr 3, 2013 at 11:46 AM, Nick Cox <njcoxstata@gmail.com> wrote:
>> I think you are missing my point. Time series have some kind of
>> dependence structure, unless they happen to be white noise. Ignoring
>> that dependence won't make it disappear. Your various models all
>> appear to be implying that there is no dependence other than implied
>> by the panel structure, that is to say that prices at successive dates
>> for the same panel are mutually independent, which seems a very strong
>> assumption to me.
>>
>> A tiny point of presentation, yet another covered in the FAQ. Left
>> ticks around command names such as `tsset` have no special effects on
>> Statalist; the convention recommended is exemplified by -tsset-.
>>
>> Nick
>>
>> On 3 April 2013 10:13, Tom <tommedema@gmail.com> wrote:
>>> Hi Nick,
>>>
>>> They are time series. `tsset` returns:
>>>
>>> panel variable:  ticker_id (unbalanced)
>>> time variable:  date, 101 to 532
>>> delta:  1 unit
>>>
>>> Each group has its own continuous time frame, ranging from 101 to 532
>>> (the first 100 dates have been dropped because they were required to
>>> create lagged variables).
>>>
>>> The only issue that I could possible see arising from time series is
>>> that the dates are not "synchronised" inbetween groups. With this I
>>> mean that t == 200 is a different point in time for id == 1 than t ==
>>> 200 for the group with id == 2.
>>>
>>> But I don't think time series are the issue because clogit is not
>>> using them (it only uses the panel id variable), and it is returning
>>> exactly the same results as xtlogit.
>>>
>>> I was hoping that something obvious would arise from the many log
>>> files I submitted a couple of posts back :)
>>>
>>> Tom
>>>
>>>
>>> On Wed, Apr 3, 2013 at 10:04 AM, Nick Cox <njcoxstata@gmail.com> wrote:
>>>> As if there weren't enough problems, what is the assumption here about
>>>> time series structure? I may have missed something in a complicated
>>>> thread, but the original data look like time series to me.
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