*! version 1.2 - 16/06/19
help aextlogit

Title

aextlogit -- Average elasticities for fixed effects logit

Syntax

aextlogit
depvar
indepvars
[if] [in]
[weight]
[, options]

group specifies the variable defining the panel

betas reports the fixed effects logit estimates

nolog suppress the display of the iteration log

vce(vcetype) vcetype may be oim, robust, cluster clustvar, bootstrap, or jackknife

maximize_options control the maximization process

iweightss are allowed; weights must be constant within panel. See weight for details.

Description

aextlogit is a wrapper for clogit 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);
see Kemp and Santos Silva (2016) for further details.

Options

group(panelvar) specifies that the variable defining the panel is panelvar.

betas reports the fixed effects logit estimates

nolog suppress the display of the iteration log

vce(vcetype) vcetype may be oim, robust, cluster clustvar, bootstrap, or jackknife

maximize_options:
technique(string),
iterate(#),
nolog,
trace,
difficult,
gradient,
showstep,
hessian,
showtolerance,
tolerance(#),
ltolerance(#),
nrtolerance(#),
nonrtolerance,
from(init_specs); see [R] maximize for more details.

Remarks

aextlogit is not an official Stata command and was written by J.M.C. Santos Silva.
For further help and support, please contact jmcss@surrey.ac.uk. Please notice that this software is provided
as is, without warranty of any kind, express or implied, including but not limited to the warranties of
merchantability, fitness for a particular purpose and noninfringement. In no event shall the authors be liable
for any claim, damages or other liability, whether in an action of contract, tort or otherwise, arising from,
out of or in connection with the software or the use or other dealings in the software.

Examples

Setup

. webuse union

. xtset idcode

Basic use of aextlogit

. aextlogit union age grade i.not_smsa south##c.year

Use of aextlogit with bootstrap standard errors and reporting the fixed effects logit estimates

. aextlogit union age grade i.not_smsa south##c.year, b vce(boot)

Estimate the fixed effects logit for comparison

. xtlogit union age grade i.not_smsa south##c.year, fe

Saved results

The output saved in e() by aextlogit is essentially the same that is saved by clogit; more details can be seen in clogit.
Some additional results are listed below.

Scalars

e(ybar) mean of the dependent variable

e(N_ybar) number of observations used in the computation of the mean of the dependent variable

Matrices

e(b) (semi-) elasticity estimates

e(V) variance-covariance matrix of the (semi-) elasticity estimates

References

Kemp, G.C.R. and Santos Silva, J.M.C., (2016),
Partial effects in fixed-effects models,
United Kingdom Stata Users' Group Meetings 2016, Stata Users Group.

Kitazawa, Y. (2012).
Hyperbolic transformation and average elasticity in the framework of the fixed effects logit model,
Theoretical Economics Letters, 2, 192-199.

Also see

Manual: [R] clogit

Last modified on 16 June 2019