[Limdep Nlogit List] Fw: maximize command on panel data

[William Greene]

Dear Ashutosh: Until the next versions of limdep and nlogit come out, unfortunately,
the MAXIMIZE program is not well equipped to handle panel data.  What you can do
for the present is move the panel to a single line format the way Gauss and Stata
do it.  Use lagged values to create a single line. E.g., if you had two periods, 

CREATE ; t = Trn(-2,0)$
CREATE ; y2=y ; y1=y[-1] $
CREATE ; x2=x ; x1=x[-1] $
REJECT ; t=1 $

Then your command can act on y1,y2,x1 and x2.  A little inelegant, to be sure. Also,
you will have to be more creative if the panel is unbalanced. But, as noted, it is a 
new feature we are working on.

/Bill Greene



----- Original Message -----
From: "Ashutosh Patil" <patil_ashutosh at yahoo.com>
To: limdep at limdep.itls.usyd.edu.au
Sent: Wednesday, March 11, 2009 10:00:40 AM GMT -05:00 US/Canada Eastern
Subject: [Limdep Nlogit List] Fw: maximize command on panel data
Dear Dr. Greene and fellow Limdepers:
 
I am trying to custom code my own random-parameters panel data code, using Limdep’s maximize command. I thought that I will start with a simple program code, and then take on more complex ones later. However, I quickly hit a wall, even as I tried to specify easy likelihood functions. 
 
In order to specify the correct likelihood function for panel data, I first need to find the likelihood for each group and then sum that over all available groups. I could not figure out how to specify a stratification index group-indicator variable in Limdep’s maximize command. The Limdep volume 2 guide has some examples on how to specify one’s custom likelihood function in the maximize command. However, I could not find any references on how to specify a likelihood function for panel data (using a group-indicator index or some other means).
 
I will greatly appreciate if anyone can provide me some help on how I can specify a likelihood function for a panel data situation, using Limdep’s maximize command. 
 
Thanks,
Ash Patil (PhD Candidate – Marketing Program - Georgia Tech)


      
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