In this paper a quite detailed analysis
of the the problem is given:
http://ideas.repec.org/p/nbr/nberte/0017.html
On page 919 is says that Fixed Effect Poisson can be estimated by
a conditional MLE that evolves to the multinomial logit.
Since the latter model can be estimated in gretl it would be great
to take this approach. However, I don't get the ends meet in order
to make this work.
The non plus ultra would be a --fixed-effects with for the poisson
command, but a MLE or conditional MLE UDF also has its charm.
12.11.2013 18:30, Pindar:
So, after reading the appropriate
literature I now know, that in principle Poisson FE could be
estimated by just including the unit dummies.
However, there are too many of them in my data set and now I'm
stuck with implementing this log-likelihood
<mime-attachment.png>
I think it wont work with 'mle' because of the 'within sums over
t periods' and needs an approach like in felogit.
Hints?
06.11.2013 11:54, Riccardo (Jack) Lucchetti:
On Wed, 6 Nov 2013, Pindar wrote:
I found Jack's felogit.gfn on the
server. I guess there is no feprobit because of the incidental
parameters problem, or?
Yes. Moreover, if you have a panel dataset you can use the
--random-effects options to the probit command to obtain RE
probit estimation via Gaussian quadrature. By the way, your post
made me realise this is still undocumented, although it's been
in for a while and I've even used it in a paper! I'll try to
update the docs asap.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
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