[Limdep Nlogit List] Interpretation of Random coefficients ordered logit parameters
William Greene
wgreene at stern.nyu.edu
Thu Feb 21 22:04:08 AEDT 2019
Achilleas. Your KDE is plotting the variation of the means of the
conditional distributions
across the individuals in the sample. From what you describe it sounds
like you seek the
range of variation of the within individual distributions (that is, the
conditional distributions).
There is a discussion of "centipede plots" in your manual that does this
sort of thing. You
might search for that material and see if it does what you are looking
for. It uses the
individual specific means and conditional standard deviations.
Regards,
Bill Greene
On Thu, Feb 21, 2019 at 1:12 AM Achilleas' gmail via Limdep <
limdep at mailman.sydney.edu.au> wrote:
> Dear Prof. Green,
>
> Thank you for your reply. Indeed my statement was confusing the way I
> worded
> it. What I meant is that the conf. intervals of the conditional estimates
> include zero and the lower (upper) bounds are strictly negative (positive)
> for all individuals.
>
> So your last statement " Some of the distribution may be near zero while
> more of the distribution may be quite far from zero " (which was what I
> also
> expected) does not show itself in my data.
>
> When I plot the unconditional estimates with a kernel density plot, I see
> that only a small part of the tail is below zero as expected.
>
> Could this be an indication of random noise that is captured by the model
> as
> a distribution of population coefficients ?
>
> Best,
>
> Achilleas
>
> -----Original Message-----
> From: Limdep <limdep-bounces at mailman.sydney.edu.au> On Behalf Of William
> Greene via Limdep
> Sent: Thursday, February 21, 2019 06:11
> To: Limdep and Nlogit Mailing List <limdep at mailman.sydney.edu.au>
> Cc: William Greene <wgreene at stern.nyu.edu>
> Subject: Re: [Limdep Nlogit List] Interpretation of Random coefficients
> ordered logit parameters
>
> 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
> >
> >
> >
> > _______________________________________________
> > Limdep site list
> > Limdep at mailman.sydney.edu.au
> > http://limdep.itls.usyd.edu.au
> >
> >
>
> --
> William Greene
> Department of Economics
> Stern School of Business, New York University
> 44 West 4 St., 7-90
> New York, NY, 10012
> URL: https://protect-au.mimecast.com/s/vNOnCJyp0qhW3Og9SVMBEc?domain=people.stern.nyu.edu
> Email: wgreene at stern.nyu.edu
> Ph. +1.212.998.0876
> Editor in Chief: Journal of Productivity Analysis Editor in Chief:
> Foundations and Trends in Econometrics Associate Editor: Economics Letters
> Associate Editor: Journal of Business and Economic Statistics Associate
> Editor: Journal of Choice Modeling
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>
--
William Greene
Department of Economics
Stern School of Business, New York University
44 West 4 St., 7-90
New York, NY, 10012
URL: https://protect-au.mimecast.com/s/vNOnCJyp0qhW3Og9SVMBEc?domain=people.stern.nyu.edu
Email: wgreene at stern.nyu.edu
Ph. +1.212.998.0876
Editor in Chief: Journal of Productivity Analysis
Editor in Chief: Foundations and Trends in Econometrics
Associate Editor: Economics Letters
Associate Editor: Journal of Business and Economic Statistics
Associate Editor: Journal of Choice Modeling
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