Re: [Gretl-devel] random-effects logit
On Mon, 30 Dec 2013, Sven Schreiber wrote:
Dear devels,
hope you've had nice holidays so far.
I have started using the new random-effects probit in gretl, and I will
also try out the fixed-effects logit (conditional) function package
soon. I was wondering, however, why (instead of RE-probit or in addition
to it) Jack didn't implement the RE-logit. It would seem more natural to
have the two logits together (RE and FE), and not an incomplete mix of
probit and logit. (I'm aware of the impossibility of FE-probit.)
Is it something technical which makes RE-logit more difficult to
program? (I really have no idea.)
Not really. As long as individual effects are assumed to be normal, we
have a relatively efficient implemetation of gaussian quadrature which
should make in relatively easy. The only reason why we started from
RE-probit and FE-logit is that those are the "traditional" panel
estimators for binary dependent variables.
In fact, even people with little familiarity with C but proficient in
coding with tools like eg Python (hint, hint) should be able to use the
plugin/reprobit.c as a template and implement relogit without suffering
unendurable torments. Maybe it could be a new year resolution for these
people (hint, hint again). ;)
Or perhaps, somebody could try coding relogit in hansl throught the ghq()
function and make a nice function package out of it.
PS: we've been working on a Hansl primer, which is now beginning to take
shape. You'll find the tex sources in the doc/tex/ subdir of the source
tree. There's still quite a lot of work to do, but I reckon we're now at
the stage when people who feel like it can lend us a hand by giving us
feedback (or better still, writing some of it -- hint, hint!).
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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