Hi,
I have dataset of 10,000 unique firms spanning across 9 years. It is an unbalanced panel data. My dependent variable (status) indicates whether a firm is a good(y=1) or a bad performer (y=0). The objective of econometrics analysis is to identify ndependent variables that can impacts the dependent variables significantly. I plan to use logit regression for my case as I think it will help in studying the impact of independent variable on the probability of being good peforming firm. Independent variables include various firm characteristics some of them are ownership of the firm which rarely change overtime, age of the firm which increase by one unit each year, size of the firm, profitability ratio, debt-equity ratio and other independent variables.
I ran binary logit regression in three ways:
(a) pooling data as a cross-section and running a binary logit regression using clustered standard errors [logit status i.ownership age log_size other_independent_variables, vce(cluster id)]
How do we interpret the beta coefficients?
(b) Binary fixed effects panel logit regression [xtlogit status i.ownership age log_size other_independent_variables, fe]. How do we interepret the beta coefficients directky from the output?
I also learnt from statalist forum that fixed effects panel logistic regression is flawed as it is conditional fixed effects logistic model. However, I did not understand the difference between conditional fixed effects logistic model and fixed effects logistic model. From what I could understand from help file on xtlogit is that the unoberserved heterogeneity coefficient is assumed to be 0 while calculation. Please let me know if my understanding is right. If not, please help me understand it
(c) Binary random effects panel logit regression [xtlogit status i.ownership age log_size other_independent_variables, re]How do we interpret the beta coefficients?
From statalist forum I also understood that the random effects does not account for serial correlation which results in inconsistent beta coefficients. Is it right? Is there any way I can fix this problem?
(d) Does xtlogit does not account for serial correlation in even fixed effects? Moreover, how do I detect serial correlation in panel data. Google scholar search helped me find xtserial command in stata. However, I wonder is the xtserrial works for panel logistic regression
(e) Also, in statalist forum I found that the selection between logistic panel regression fixed effects and random effects is done using Hausman test. But, I think Hausman test is used for xtreg,fe and xtreg, re. Is it valid for xtlogit re and xtlogit fe?
(f)The objective is to decide which of the (a), (b) and (c) is best suited for my analysis. I do not know how to find whether pooled panel logit is better than FE panel logit,pooled panel logit is better than RE panel logit, and if panel FE logistic regression is better than panel RE logistic regression.
I would be grateful if someone helps me with this as I have not been able to find any resource which could help me find the same for panel logit.
If possible, please provide a resource for the same. I could not find any good source for interpreting the beta coefficients also. help xtlogit only helped in undertsanding the stata command
I have dataset of 10,000 unique firms spanning across 9 years. It is an unbalanced panel data. My dependent variable (status) indicates whether a firm is a good(y=1) or a bad performer (y=0). The objective of econometrics analysis is to identify ndependent variables that can impacts the dependent variables significantly. I plan to use logit regression for my case as I think it will help in studying the impact of independent variable on the probability of being good peforming firm. Independent variables include various firm characteristics some of them are ownership of the firm which rarely change overtime, age of the firm which increase by one unit each year, size of the firm, profitability ratio, debt-equity ratio and other independent variables.
I ran binary logit regression in three ways:
(a) pooling data as a cross-section and running a binary logit regression using clustered standard errors [logit status i.ownership age log_size other_independent_variables, vce(cluster id)]
How do we interpret the beta coefficients?
(b) Binary fixed effects panel logit regression [xtlogit status i.ownership age log_size other_independent_variables, fe]. How do we interepret the beta coefficients directky from the output?
I also learnt from statalist forum that fixed effects panel logistic regression is flawed as it is conditional fixed effects logistic model. However, I did not understand the difference between conditional fixed effects logistic model and fixed effects logistic model. From what I could understand from help file on xtlogit is that the unoberserved heterogeneity coefficient is assumed to be 0 while calculation. Please let me know if my understanding is right. If not, please help me understand it
(c) Binary random effects panel logit regression [xtlogit status i.ownership age log_size other_independent_variables, re]How do we interpret the beta coefficients?
From statalist forum I also understood that the random effects does not account for serial correlation which results in inconsistent beta coefficients. Is it right? Is there any way I can fix this problem?
(d) Does xtlogit does not account for serial correlation in even fixed effects? Moreover, how do I detect serial correlation in panel data. Google scholar search helped me find xtserial command in stata. However, I wonder is the xtserrial works for panel logistic regression
(e) Also, in statalist forum I found that the selection between logistic panel regression fixed effects and random effects is done using Hausman test. But, I think Hausman test is used for xtreg,fe and xtreg, re. Is it valid for xtlogit re and xtlogit fe?
(f)The objective is to decide which of the (a), (b) and (c) is best suited for my analysis. I do not know how to find whether pooled panel logit is better than FE panel logit,pooled panel logit is better than RE panel logit, and if panel FE logistic regression is better than panel RE logistic regression.
I would be grateful if someone helps me with this as I have not been able to find any resource which could help me find the same for panel logit.
If possible, please provide a resource for the same. I could not find any good source for interpreting the beta coefficients also. help xtlogit only helped in undertsanding the stata command
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