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

[Tom <tommedema@gmail.com>]

I understand what you mean. Note that I did not use any of these other
models until unexpected computational problems appeared.

I chose for a fixed effects model because I do not expect prices to be
determined randomly, but rather to be inherent to the underlying
company (each group represents a company). I expect each company to
have a (time independent) effect on its prices. Therefore a fixed
effects model seems appropriate. Also, the initial estimates are often
significant and even the simpler model seem to have explanatory and
predictive power.

You mention that I can decide on another correlation structure for the
observations, but according to the -xtlogit- help this is only
applicable for population average (PA) models.

I still don't quite see how this could cause the behavior that I'm
seeing though. There are even issues with some independent variables
when they are the only explanatory variable in the model, as shown in
my earlier posts (e.g. -xtlogit depc_gpf30 close, fe-).

I'm currently trying to determine if any of the companies have extreme
leverage effects that could cause some of the issues.

Tom

On Wed, Apr 3, 2013 at 1:04 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> 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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