LOGITFE: Stata module to compute analytical and jackknife bias corrections for fixed effects estimators of panel logit models with individual and time effects
Mario Cruz-Gonzalez (),
Ivan Fernandez-Val () and
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Mario Cruz-Gonzalez: Boston University
Statistical Software Components from Boston College Department of Economics
logitfe fits a logit fixed-effects estimator that can include individual and/or time effects, and account for both the bias arising from the inclusion of individual fixed-effects and/or the bias arising from the inclusion of time fixed-effects. logitfe with the nocorrection option does not correct for the incidental parameter bias problem (Neyman and Scott, 1948). logitfe with the analytical option removes an analytical estimate of the bias from the logit 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. logitfe 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 (2010) as described in Fernandez-Val and Weidner (2016). logitfe displays estimates of Index Coefficients and Average Partial Effects.
Requires: Stata version 11.2 and moremata from SSC (q.v.)
Keywords: logit; fixed effects; bias corrections; panel; jackknife (search for similar items in EconPapers)
Date: 2016-12-18, Revised 2017-03-10
Note: This module should be installed from within Stata by typing "ssc install logitfe". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/l/logitfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/logitfe.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/trade.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/l/lfp_psid.dta sample data file (application/x-stata)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458278
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