[Limdep Nlogit List] random effects probit with clustering

[Thornburg, Steven]

Philip Grossman

 

It depends on how your data is arranged and whether you have balanced or
unbalanced panels

See R6.5 & E17.4

For balanced panels you need to specify the group size

;pds= panel specification

e.g. 

;pds=10

Using your variable names from below

 

probit

;lhs=Z I=N, T=X

;rhs=one,independent variables

;panel

;pds=X

;random effects

;MARGINAL

$

 

 

For unbalanced panels you need to create a variable that indicates group
membership

e.g.

;pds=ti

 

The following is an example of the script I might use for creating a
group count variable for unbalanced panels

 

sample; all$

noskip$

sort; lhs=Xsessionindex; rhs=*$

create; Xsession=ndx(Xsessionindex,0)$

regress; lhs=one; rhs=one; str=Xsession; panel$

create; Sessionsize=_groupti$

 

probit

;lhs= lhs=Zti

;rhs=one,independent variables

;panel

;pds=Sessionsize

;random effects

;MARGINAL

$

 

-------------------------------------

Steven Thornburg, Ph.D. CPA

Assistant Professor

Todd 237F

Department of Accounting

Washington State University

Pullman, WA 99164

Voice:  (509) 335-2222

Fax:      (509) 335-4275

 

-----Original Message-----
From: limdep-bounces at limdep.itls.usyd.edu.au
[mailto:limdep-bounces at limdep.itls.usyd.edu.au] On Behalf Of Grossman,
Philip J.
Sent: Friday, July 30, 2010 11:57 AM
To: limdep at limdep.itls.usyd.edu.au
Subject: [Limdep Nlogit List] random effects probit with clustering

 

I have panel data comprised on X sessions with N subjects per session
each making Z yes/no decisions.  I want to estimate a random effects,
probit model with clustering on session.  Is this doable with Limdep and
if so how?

 

Thanks for any help provided.

 

Philip Grossman

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