Re: [Gretl-devel] fixed effects logistic regression?
Am 28.03.2019 um 02:56 schrieb Allin Cottrell:
There's a colleague in my department who uses gretl for all his
empirical work, and does a lot of logistic regressions. He's a
political economy guy and in many cases the dependent variable is the
percentage vote in some legislative body for some bill or other.
We have logistic regression in gretl but it hasn't had much attention
in a long time. At my colleague's prompting I've recently enabled the
--robust and --cluster options for "logistic". But in addition he also
wants to use logistic regression in a panel context. We have fixed
effects (binary) logit already -- any thoughts on what it would take
to extend that to cover fixed effects logistic?
After looking at the help for 'logistic', spontaneously I'd say it's
much simpler than felogit. The LHS of the regression is some
transformation of a variable, but the same is true for example for a
simple log-transform. So I don't see why in terms of estimation a
standard FE specification with a transformed regressand wouldn't work --
of course always sticking to the (sometimes overlooked) assumption that
the regressors are strictly exogenous, so in particular no lagged
endogenous terms and so on.
(Note that for nonlinear transformations there's also a literature on
getting predicted values properly, because the expected transformed
value will not be the same as the transformed expectation. This could
also apply here AFAICS, but this would already affect the 'logistic'
command as-is, without panel fixed effects.)
My 2ct
sven
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