Stata新命令:面板-LogitFE-ProbitFE

发布时间:2020-10-08 阅读 37

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  • help probitfe // Analytical and jackknife bias corrections for fixed-effects estimators of panel probit models with individual and time effects
  • help logitfe // Analytical and jackknife bias corrections for fixed-effects estimators of panel logit models with individual and time effects

命令简介

probitfe / logitfe 命令简介

Mario Cruz-Gonzalez, Iván Fernández-Val, Martin Weidner, 2017, Bias Corrections for Probit and Logit Models with Two-way Fixed Effects, Stata Journal, 17(3): 517–545. [PDF]

probitfe fits a probit fixed-effects estimator that can include individual or time effects and account for both the bias arising from the inclusion of individual fixed effects or the bias arising from the inclusion of time fixed effects.

  • probitfe with the nocorrection option does not correct for the incidental parameter bias problem (Neyman and Scott 1948).
  • probitfe with the analytical option removes an analytical estimate of the bias from the probit fixed-effects estimator using the expressions derived in Fernandez-Val and Weidner (2016). The trimming parameter can be set to any value between 0 and (T-1), where T is the number of time periods.
  • probitfe with the jackknife option removes a jackknife estimate of the bias from the fixed-effects estimator. This method is based on the delete-one panel jackknife of Hahn and Newey (2004) and split panel jackknife of Dhaene and Jochmans (2015) as described in Fernandez-Val and Weidner (2016).
  • probitfe displays estimates of index coefficients and APE.

aextlogit 命令简介:边际效应

aextlogit is a wrapper for xtlogit which estimates the fixed effects logit and reports estimates of the average (semi-) elasticities of Pr(y=1|x,u) with respect to the regressors, and the corresponding standard errors and t-statistics. The method used to compute the (semi-) elasticities was first described by Kitazawa (2012, "Hyperbolic transformation and average elasticity in the framework of the fixed effects logit model," Theoretical Economics Letters, 2, 192-199.).

下载方法

方法 1: 使用 net install 命令

输入下命令可以打开下载页面,点击「(click here to install)」和「(click here to get)」可以分别下载 ado 程序文档和用于演示的 dofile 和数据文件。

view net sj 17-3 st0485

亦可直接执行如下命令下载:

. net install st0485.pkg  // 下载 ado 和 hlp 文档
. net get     st0485.pkg  // 下载演示文档

方法 2: 使用 findit 命令

在 Stata 命令窗口中输入如下命令,按指引下载即可:

findit logitfe

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参考文献

  • Mario Cruz-Gonzalez, Iván Fernández-Val, Martin Weidner, 2017, Bias Corrections for Probit and Logit Models with Two-way Fixed Effects, Stata Journal, 17(3): 517–545. [PDF]
  • Dhaene, G., and K. Jochmans. 2015. Split-panel jackknife estimation of fixed-effect models. Review of Economic Studies 82: 991-1030.
  • Fernández-Val, I., and M. Weidner. 2016. Individual and time effects in nonlinear panel models with large N, T. Journal of Econometrics 192: 291-312. [PDF]
  • Hahn, J., and W. Newey. 2004. Jackknife and analytical bias reduction for nonlinear panel models. Econometrica 72: 1295-1319.
  • Neyman, J., and E. L. Scott. 1948. Consistent estimates based on partially consistent observations. Econometrica 16: 1-32.
  • Daniel Czarnowske and Amrei Stammann, Binary Choice Models with High-Dimensional Individual and Time Fixed Effects, arXiv working paper, 2019, arXiv:1904.04217 [econ.EM]. [PDF]. 展示了一个动态面板 Probit 模型的应用。

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