[Limdep Nlogit List] Interpretation of Random coefficients ordered logit parameters

[William Greene]

Achilleas:  Considering X1, your results suggest that the population
distribution of coefficients
on X1 has a normal distribution with mean of  0.12776 and a standard
deviation of 0.62482.
Interpretations of "statistical significance" in this context are
ambiguous.  The statement

However, when I look at the individual specific (conditional) estimates, I
find a strong indication of their effect being zero for all (i.e. confidence
intervals for all individuals are way far from zero on both ends)

is contradictory.  It seems to state that the effects are close to zero,
but confidence intervals
are far from zero.  What is true is that the conditional estimates will
vary around the mean
of 0.12276.  The mean of the conditional estimates should equal the
unconditional estimate.
The conditional standard deviations that are estimable will all be less
than the 0.62482, and
the average of these conditional standard deviations will also be strictly
less than 0.62482.
Characterizations of the distribution of random parameters should not be
based on "confidence
intervals."  Some of the distribution may be near zero while more of the
distribution may be
quite far from zero.

/Bill Greene



On Wed, Feb 20, 2019 at 2:07 PM Achilleas' gmail via Limdep <
limdep at mailman.sydney.edu.au> wrote:

> Dear all,
>
>
>
> I'm estimating a Random Coefficients  Ordered Logit Model with Y an ordered
> variable and X1 and X2 independent dummy vars:
>
>
>
> SETPANEL; GROUP=ID; PDS=ROUNDS $
>
> ORDERED ; PANEL ; Lhs = Y
>
> ; Rhs = ONE, X1, X2
>
> ; MODEL= LOGIT $
>
> ORDERED  ; PANEL; Lhs = Y
>
> ; Rhs = one, X1, X2
>
> ; RPM
>
> ; par
>
> ; Fcn = one(n), X1(n), X2(n)
>
> ; HALTON
>
> ; MODEL= LOGIT $
>
>
>
> My results are as follows:
>
>
>
>         |Means for random parameters
>
> Constant|    8.33434***      .85987     9.69  .0000     6.64903  10.01966
>
>   X1    |     .12776         .32251      .40  .6920     -.50436    .75988
>
>   X2    |    -.03393         .33030     -.10  .9182     -.68131    .61344
>
>         |Scale parameters for dists. of random parameters
>
> Constant|    3.26244***      .22798    14.31  .0000     2.81560   3.70927
>
>   X1    |     .62482***      .21928     2.85  .0044      .19503   1.05460
>
>   X2    |     .78015***      .22758     3.43  .0006      .33409   1.22621
>
>
>
> My intuition is that for the X's, the results of the unconditional
> estimates
> mean that their effect is non-significant (i.e. zero) on aggregate but with
> strong individual variability (i.e. showing that for some individuals it is
> different from zero).
>
>
>
> However, when I look at the individual specific (conditional) estimates, I
> find a strong indication of their effect being zero for all (i.e.
> confidence
> intervals for all individuals are way far from zero on both ends)
>
>
>
> Is my interpretation mistaken?  And if not, how I can possibly explain the
> different conclusions I get from conditional vs unconditional estimates?
>
>
>
> Thank you,
>
>
>
> Achilleas
>
>
>
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>
>

-- 
William Greene
Department of Economics
Stern School of Business, New York University
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