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Re: st: problem with negative binomial fixed effect model
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: problem with negative binomial fixed effect model
Date
Mon, 10 Mar 2014 19:20:40 -0400
You should try increasing the matsize, see -help matsize-
--------------------------------------------
Jorge Eduardo Pérez Pérez
Graduate Student
Department of Economics
Brown University
On Mon, Mar 10, 2014 at 6:39 PM, Nahla Betelmal <[email protected]> wrote:
> Dear Statalist,
>
> I want to apply fixed effect negative binomial model on my panel data.
> the panel variable is firm and I control for year effect by year
> indicator variable as follow:
>
> xtnbreg dependent-variable independent-variables i.year, fe
>
> However, I found this paper by Paul D. Allison and Richard Waterman,
> "FIXED-EFFECTS NEGATIVE BINOMIAL REGRESSION MODELS " which argues that
> the above command does not actually produce the correct fixed-effect
> negative binomial model.
>
> http://www.ssc.upenn.edu/~allison/FENB.pdf
>
> Instead the authors present the case to include indicator variable
> (dummy variable) to get the fixed-effect estimates, so the command
> should be as follow
>
> nbreg dependent-variable independent-variables i.year i.firm
>
>
> In my case there is a problem in using this command as I have large
> number of firms, 1,200 firms for years from 1993-2010. I got the error
>
> matsize too small, r(908);
>
> Is there a way in Stata to get the correct fixed-effect estimates as
> suggested by the above authors ? I have 12.1 version, MP edition
>
> Thank you for all the help
>
> Best Regards
>
> Nahla Betelmal
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