[Limdep Nlogit List] Limdep Digest, Vol 52, Issue 11

Sat Jul 31 23:47:50 EST 2010

To those who have replied, thanks for your suggestion.  However, I am receiving the following error message when I run my program:

Error:   745: Panel estimators (;PDS=...) do not support ;CLUSTER=....

Is there a way around this problem?

Thanks.

Philip

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Subject: Limdep Digest, Vol 52, Issue 11

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Today's Topics:

   1. random effects probit with clustering (Grossman, Philip J.)
   2. Re: random effects probit with clustering (Thornburg, Steven)
   3. Re: random effects probit with clustering (Darren Lee)

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

Message: 1
Date: Fri, 30 Jul 2010 13:56:55 -0500
From: "Grossman, Philip J." <pjgrossman at stcloudstate.edu>
Subject: [Limdep Nlogit List] random effects probit with clustering
To: "limdep at limdep.itls.usyd.edu.au" <limdep at limdep.itls.usyd.edu.au>
Message-ID:
	<7156D77198022240A06C44B87ACF1C751352DA7816 at SCSU80.campus.stcloudstate.edu>

Content-Type: text/plain; charset="us-ascii"

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

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

Message: 2
Date: Fri, 30 Jul 2010 14:03:09 -0700
From: "Thornburg, Steven" <sthornburg at wsu.edu>
Subject: Re: [Limdep Nlogit List] random effects probit with
	clustering
To: "Limdep and Nlogit Mailing List" <limdep at limdep.itls.usyd.edu.au>
Message-ID:
	<5AED8238E84C9644AD5507051EC795510110AB98 at EXCHANGEVS-02.ad.wsu.edu>
Content-Type: text/plain;	charset="US-ASCII"

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

_______________________________________________

Limdep site list

Limdep at limdep.itls.usyd.edu.au

http://limdep.itls.usyd.edu.au

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

Message: 3
Date: Sat, 31 Jul 2010 11:21:00 +1000
From: Darren Lee <d.lee at business.uq.edu.au>
Subject: Re: [Limdep Nlogit List] random effects probit with
	clustering
To: Limdep and Nlogit Mailing List <limdep at limdep.itls.usyd.edu.au>
Message-ID:
	<A9CA6B25B8629F488ED31CF50BC2C315037C5ECC at UQEXMB3.soe.uq.edu.au>
Content-Type: text/plain; charset="iso-8859-1"

Philip.

I think you can use the ;cluster = session command for the clustering aspect.

Best Regards,

Darren Lee, PhD
Lecturer in Finance
UQ Business School
The University of Queensland
Room 328,Colin Clark Blg
St Lucia, Blair Drive
Queensland, Australia 4072
PH: 61 7 33468048
Fax: 61 7 33468166
Email: d.lee2 at uq.edu.au
Website: www.business.uq.edu.au/display/teach/Darren+Lee <https://exchange.uq.edu.au/exchweb/bin/redir.asp?URL=http://www.business.uq.edu.au/display/teach/Darren%2BLee> 

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________________________________

From: limdep-bounces at limdep.itls.usyd.edu.au on behalf of Grossman, Philip J.
Sent: Sat 31-Jul-10 4:56 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
_______________________________________________
Limdep site list
Limdep at limdep.itls.usyd.edu.au
http://limdep.itls.usyd.edu.au <http://limdep.itls.usyd.edu.au/> 

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End of Limdep Digest, Vol 52, Issue 11
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