[Limdep Nlogit List] generalised linear model

William Greene wgreene at stern.nyu.edu
Thu Dec 17 02:22:36 EST 2009


Mr. Zanni. That model is simply a LOGIT model in LIMDEP.
LIMDEP inspects your data for your logit model. If the data
are "fractional" it treats them exactly as described in the
Papke/Wooldridge paper. It also allows for some data to be
exactly 0 or 1, and the treatment is, once again, exactly as
described in the paper. The estimator has always been structured
that way; it is not a new feature in the program. (It was there
long before the JAE paper was published.) Do use it, just use
the LOGIT verb and specify the LHS and RHS as usual. If you want
a sandwich estimate for the variance matrix, just add ;ROBUST
to the command. The program will figure out internally what 
the data look like.
/B. Greene


----- Original Message -----
From: "A M Zanni" <A.M.Zanni at lboro.ac.uk>
To: limdep at limdep.itls.usyd.edu.au
Sent: Wednesday, December 16, 2009 4:32:09 AM GMT -05:00 US/Canada Eastern
Subject: [Limdep Nlogit List] generalised linear model

Dear all,
> 
> two questions for you:
> 
> I would like to use Limdep to estimate a Generalised 
>Linear Quasi Likelihood regression model for proportion 
>data as dependent variable. This is the model developed 
>by Papke and Wooldridge in 1996 (Econometric methods for 
>fractional response variables with an application to 
>401(K) plan participation rates. Journal of Applied 
>Econometrics, 11, 619-632). In STATA it corresponds to 
>the command "glm dependent independent family (binomial) 
>link(logit) robust". It seems to me that this model 
>(which allows for consideration of the values 0 and 1 of 
>the dependent variable, and not only those within the interval) is not among the 
>options of generalised models in Limdep. Could somebody 
>please help?
> 
> Second question is about the constant. A senior 
>colleague has suggested to me to remove the constant from 
>a regression model (which contains among the independent 
>variable a tax level) because by keeping it the model 
>would predict change even when the tax is zero). I have 
>always thought removing a constant is not good. Any ideas 
>on that?
> 
> Thank you very much for your attention.
> 
> Best
> Alberto
> 
> Dr Alberto M Zanni
> Transport Studies Group
> Department of Civil and Building Engineering 
> Loughborough University
> Loughborough LE11 3TU
> United Kingdom 
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