[Limdep Nlogit List] RE: clustered standard errors

[William Greene]

Gail.  LIMDEP can produce a "cluster" estimator by adding a single parameter to
the (any) model command.  However, it's not clear what you mean by "agegroup/year."
is this one, two, or three levels?  Are they nested?
/B. Greene

************************************************
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY   10012
Ph. 212.998.0876
Fax. 212.995.4218
URL. http://www.stern.nyu.edu/~wgreene
Email. wgreene at stern.nyu.edu
************************************************

----- Original Message -----
From: Gail Pacheco <gail.pacheco at aut.ac.nz>
Date: Tuesday, May 15, 2007 8:15 pm
Subject: [Limdep Nlogit List] RE: clustered standard errors

> Hi
> would anyone be able to help me in figuring out how to produce
> clustered standard errors.
> I am running a probit model and am wanting to calculate robust 
> standarderrors that account for clustering at the group level - by 
> agegroup/yearin my case.
> Any helpful direction would be much appreciated.
> 
> Gail Pacheco
> Senior Lecturer - Economics
> Faculty of Business
> AUT University
> gail.pacheco at aut.ac.nz 
> 64-9-9219999 ext 5708
> 
> >>> ipardoe at lcbmail.uoregon.edu 16/05/2007 8:47 a.m. >>>
> Bill Greene kindly clarified the difference for me:
> 
> -----Original Message-----
> From: William Greene [wgreene at stern.nyu.edu] 
> Sent: Thursday, May 10, 2007 3:58 PM
> To: Prof David Hensher
> Cc: Iain Pardoe
> Subject: Re: FW: Nlogit crosstab question
> 
> David and Iain:  The cross tab is computed as the summation:
> 
> TABLE  =  Sum(i=1,n)  p(i) * y(i)'
> 
> where p(i) is the column vector of fitted probabilities and y(i)' is
> the
> 
> row vector of actual ones and zeros for the choice.  Then, the table
> has to be converted to integers, which is why the text box above it
> reminds you that the column totals are subject to rounding error. The
> predictions in the listing are obtained by choosing the outcome with
> the largest predicted probability.  This will definitely give a
> different
> answer.  One could construct the crosstab by using the listed
> predictions,
> but this would cause a different problem.  When the model contains
> ASCs, the model has been calibrated so that the fitted market 
> shares 
> match the actual ones.  It's a bedrock result.  It won't happen if you
> use
> the predictions produced by the listing.
> All the best,
> Bill
> 
> ************************************************
> Professor William Greene
> Department of Economics
> Stern School of Business
> New York University
> 44 West 4th St., Rm. 7-78
> New York, NY   10012
> Ph. 212.998.0876
> Fax. 212.995.4218
> URL. http://www.stern.nyu.edu/~wgreene 
> Email. wgreene at stern.nyu.edu 
> ************************************************ 
> 
> -----Original Message-----
> From: Iain Pardoe 
> Sent: Thursday, May 10, 2007 9:40 AM
> To: 'limdep at limdep.itls.usyd.edu.au'
> Subject: Nlogit crosstab question
> 
> (Apologies if this post appears twice - it didn't seem to go through
> the
> first time I sent it.)
> 
> I'm getting some apparently anomalous results using the crosstab
> command.  In particular, I'm obtaining crosstab results that don't
> appear to match predicted probability results (obtained using list).
> For example, on page N3-21 of the nlogit3 manual the numbers of
> correct
> (within-sample) predictions for the transportation data are given
> along
> the matrix crosstab diagonal as 34 air, 39 train, 17 bus, and 30 car
> (for the invc, invt, gc, ttme, a_air, a_train, a_bus model).  But, if
> I
> count up the */+ (actual/prediction) co-occurrences  from a 
> listing of
> the predicted probabilities, I get 39 air, 44 train, 23 bus, and 46
> car.
> 
> Here's my code:
> 
> NLOGIT ; Lhs = MODE
>       ; Choices = Air,Train,Bus,Car
>       ; Rhs = INVC,INVT,GC,TTME
>       ; Rh2 = ONE
>       ; Crosstab
>       ; List $
> 
> More than likely I'm misunderstanding something obvious, but I would
> be
> grateful if someone could enlighten me.
> 
> Best wishes, Iain
> 
> Iain Pardoe <ipardoe at lcbmail.uoregon.edu>
> Assistant Professor of Decision Sciences
> Charles H. Lundquist College of Business
> 1208 University of Oregon
> Eugene, OR 97403-1208, USA
> Ph: 541-346-3250, Fax: 541-346-3341
> http://lcb1.uoregon.edu/ipardoe 
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