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Discrete Choice Modeling
William Greene
Stern School of Business
New York University
1
Part 4
Panel Data Models
2
3
4
5
An Unbalanced Panel: RWM’s GSOEP Data on Health Care
N = 7,293 Households
6
Application: Health Care Panel Data
German Health Care Usage Data, 7,293 Individuals, Varying Numbers of PeriodsVariables in the file areData downloaded from Journal of Applied Econometrics Archive. This is an unbalanced panel with 7,293 individuals. They can be used for regression, count models, binary choice, ordered choice, and bivariate binary choice. This is a large data set. There are altogether 27,326 observations. The number of observations ranges from 1 to 7. (Frequencies are: 1=1525, 2=1079, 3=825, 4=926, 5=1051, 6=1000, 7=887). Note, the variable NUMOBS below tells how many observations there are for each person. This variable is repeated in each row of the data for the person. (Downloaded from the JAE Archive) DOCTOR = 1(Number of doctor visits > 0) HOSPITAL = 1(Number of hospital visits > 0) HSAT = health satisfaction, coded 0 (low) - 10 (high) DOCVIS = number of doctor visits in last three months HOSPVIS = number of hospital visits in last calendar year PUBLIC = insured in public health insurance = 1; otherwise = 0 ADDON = insured by add-on insurance = 1; otherswise = 0 HHNINC = household nominal monthly net income in German marks / 10000. (4 observations with income=0 were dropped) HHKIDS = children under age 16 in the household = 1; otherwise = 0 EDUC = years of schooling AGE = age in years MARRIED = marital status EDUC = years of education
7
Unbalanced Panel: Group Sizes
8
Panel Data Models
Benefits Modeling heterogeneity Rich specifications Modeling dynamic effects in individual behavior
Costs More complex models and estimation procedures Statistical issues for identification and estimation
9
Fixed and Random Effects Model: Feature of interest yit
Probability distribution or conditional mean Observable covariates xit, zi
Individual specific unobserved heterogeneity, ui
Probability or mean, f(xit,zi,ui)
Random effects: E[ui|xi1,…,xiT,zi] = 0
Fixed effects: E[ui|xi1,…,xiT,zi] = g(Xi,zi).
The difference relates to how ui relates to the observable covariates.
10
Household Income
We begin by analyzing Income using linear regression.11
Fixed and Random Effects in Regression
yit = ai + b’xit + eit
Random effects: Two step FGLS. First step is OLS Fixed effects: OLS based on group mean differences
How do we proceed for a binary choice model? yit* = ai + b’xit + eit
yit = 1 if yit* > 0, 0 otherwise. Prob(yit=1)=F(ai + b’xit ).
Neither ols nor two step FGLS works (even approximately) if the model is nonlinear. Models are fit by maximum likelihood, not OLS or GLS New complications arise that are absent in the linear case.
12
Pooled Linear Regression - Income
----------------------------------------------------------------------Ordinary least squares regression ............LHS=HHNINC Mean = .35208 Standard deviation = .17691 Number of observs. = 27326Model size Parameters = 2 Degrees of freedom = 27324Residuals Sum of squares = 796.31864 Standard error of e = .17071Fit R-squared = .06883 Adjusted R-squared = .06879Model test F[ 1, 27324] (prob) = 2019.6(.0000)--------+-------------------------------------------------------------Variable| Coefficient Standard Error b/St.Er. P[|Z|>z] Mean of X--------+-------------------------------------------------------------Constant| .12609*** .00513 24.561 .0000 EDUC| .01996*** .00044 44.940 .0000 11.3206--------+-------------------------------------------------------------
13
Fixed Effects----------------------------------------------------------------------Least Squares with Group Dummy Variables..........Ordinary least squares regression ............LHS=HHNINC Mean = .35208 Standard deviation = .17691 Number of observs. = 27326Model size Parameters = 7294 Degrees of freedom = 20032Residuals Sum of squares = 277.15841 Standard error of e = .11763Fit R-squared = .67591 Adjusted R-squared = .55791Model test F[***, 20032] (prob) = 5.7(.0000)--------+-------------------------------------------------------------Variable| Coefficient Standard Error b/St.Er. P[|Z|>z] Mean of X--------+------------------------------------------------------------- EDUC| .03664*** .00289 12.688 .0000 11.3206--------+-------------------------------------------------------------
For the pooled model, R squared was .06883 and The estimated coefficient on EDUC was .01996.
14
Random Effects----------------------------------------------------------------------Random Effects Model: v(i,t) = e(i,t) + u(i)Estimates: Var[e] = .013836 Var[u] = .015308 Corr[v(i,t),v(i,s)] = .525254Lagrange Multiplier Test vs. Model (3) =*******( 1 degrees of freedom, prob. value = .000000)(High values of LM favor FEM/REM over CR model)Baltagi-Li form of LM Statistic = 4534.78 Sum of Squares 796.363710 R-squared .068775--------+-------------------------------------------------------------Variable| Coefficient Standard Error b/St.Er. P[|Z|>z] Mean of X--------+------------------------------------------------------------- EDUC| .02051*** .00069 29.576 .0000 11.3206Constant| .11973*** .00808 14.820 .0000--------+-------------------------------------------------------------Note: ***, **, * = Significance at 1%, 5%, 10% level.----------------------------------------------------------------------For the pooled model, the estimated coefficient on EDUC was .01996.For the fixed effects model, the estimated coefficient on EDUC was .03664.
15
Fixed vs. Random Effects Linear Models Fixed Effects
Robust (consistent) in both cases Use OLS Convenient
Random Effects Inconsistent in FE case: effects correlated with X Use FGLS: No necessary distributional assumption Smaller number of parameters Inconvenient to compute
Nonlinear Models Fixed Effects
Usually inconsistent because of IP problem Fit by full ML Extremely inconvenient
Random Effects Inconsistent in FE case: effects correlated with X Use full ML: Distributional assumption, usually normal Smaller number of parameters Always inconvenient to compute
16
Binary Choice Model
Model is Prob(yit = 1|xit) (zi is embedded in xit)
In the presence of heterogeneity,
Prob(yit = 1|xit,ui) = F(xit,ui)
17
Panel Data Binary Choice Models
Random Utility Model for Binary Choice
Uit = + ’xit + it + Person i specific effect
Fixed effects using “dummy” variables
Uit = i + ’xit + it
Random effects with omitted heterogeneity
Uit = + ’xit + it + ui
Same outcome mechanism: Yit = 1[Uit > 0]18
Ignoring Unobserved Heterogeneity
i it
it i it
it it i it
2it it u
; Cov( ,u ) 0
y *= u
Prob[y 1| ] Prob[u - ]
Using the same model format:
Prob[y 1| ] F / 1+ F( )
This is the "population averaged mo
it
it
it
it it
x
x β
x x β
x
Assuming strict exogen
x β x δ
eity
del."
19
Ignoring Heterogeneity
Ignoring heterogeneity, we estimate not .
Partial effects are f( ) not f( )
is underestimated, but f( ) is overestimated.
Which way does it go? Maybe ignoring u is ok?
Not if we want
it it
it
δ β
δ x δ β x β
β x β
to compute probabilities or do
statistical inference about Estimated standard
errors will be too small.
β.
20
Pooled vs. A Panel Estimator----------------------------------------------------------------------Binomial Probit ModelDependent variable DOCTOR --------+-------------------------------------------------------------Variable| Coefficient Standard Error b/St.Er. P[|Z|>z] Mean of X--------+-------------------------------------------------------------Constant| .02159 .05307 .407 .6842 AGE| .01532*** .00071 21.695 .0000 43.5257 EDUC| -.02793*** .00348 -8.023 .0000 11.3206 HHNINC| -.10204** .04544 -2.246 .0247 .35208--------+-------------------------------------------------------------Unbalanced panel has 7293 individuals--------+-------------------------------------------------------------Constant| -.11819 .09280 -1.273 .2028 AGE| .02232*** .00123 18.145 .0000 43.5257 EDUC| -.03307*** .00627 -5.276 .0000 11.3206 HHNINC| .00660 .06587 .100 .9202 .35208 Rho| .44990*** .01020 44.101 .0000--------+-------------------------------------------------------------
21
Partial Effects
----------------------------------------------------------------------Partial derivatives of E[y] = F[*] withrespect to the vector of characteristicsThey are computed at the means of the XsObservations used for means are All Obs.--------+-------------------------------------------------------------Variable| Coefficient Standard Error b/St.Er. P[|Z|>z] Elasticity--------+------------------------------------------------------------- |Pooled AGE| .00578*** .00027 21.720 .0000 .39801 EDUC| -.01053*** .00131 -8.024 .0000 -.18870 HHNINC| -.03847** .01713 -2.246 .0247 -.02144--------+------------------------------------------------------------- |Based on the panel data estimator AGE| .00620*** .00034 18.375 .0000 .42181 EDUC| -.00918*** .00174 -5.282 .0000 -.16256 HHNINC| .00183 .01829 .100 .9202 .00101--------+-------------------------------------------------------------
22
Effect of Clustering Yit must be correlated with Yis across periods Pooled estimator ignores correlation Broadly, yit = E[yit|xit] + wit,
E[yit|xit] = Prob(yit = 1|xit) wit is correlated across periods
Assuming the marginal probability is the same, the pooled estimator is consistent. (We just saw that it might not be.)
Ignoring the correlation across periods generally leads to underestimating standard errors.
23
“Cluster” Corrected Covariance Matrix
Robustness is not the justification.
c
1
1 1
1 1 1
the number if clusters
n number of observations in cluster c
= inverse of second derivatives matrix
= derivative of log density for observation
1c c
ic
C n n
ic icc i i
C
C
C
H
g
V H g g H
24
Cluster Correction: Doctor----------------------------------------------------------------------Binomial Probit ModelDependent variable DOCTORLog likelihood function -17457.21899--------+-------------------------------------------------------------Variable| Coefficient Standard Error b/St.Er. P[|Z|>z] Mean of X--------+------------------------------------------------------------- | Conventional Standard ErrorsConstant| -.25597*** .05481 -4.670 .0000 AGE| .01469*** .00071 20.686 .0000 43.5257 EDUC| -.01523*** .00355 -4.289 .0000 11.3206 HHNINC| -.10914** .04569 -2.389 .0169 .35208 FEMALE| .35209*** .01598 22.027 .0000 .47877--------+------------------------------------------------------------- | Corrected Standard ErrorsConstant| -.25597*** .07744 -3.305 .0009 AGE| .01469*** .00098 15.065 .0000 43.5257 EDUC| -.01523*** .00504 -3.023 .0025 11.3206 HHNINC| -.10914* .05645 -1.933 .0532 .35208 FEMALE| .35209*** .02290 15.372 .0000 .47877--------+-------------------------------------------------------------
25
Modeling a Binary Outcome
Did firm i produce a product or process innovation in year t ? yit : 1=Yes/0=No
Observed N=1270 firms for T=5 years, 1984-1988 Observed covariates: xit = Industry, competitive pressures,
size, productivity, etc. How to model?
Binary outcome Correlation across time Heterogeneity across firms
26
Application: Innovation
27
28
A Random Effects Model
i
it i
i
1 2 ,1
, ~ [0, ]
T = observations on individual i
For each period, y 1[ 0] (given u )
Joint probability for T observations is
Prob( , ,...) ( )
For convenience, wr
i
it i i u
it
T
i i it it it
it u u N
U
y y F y u
U
x
x
i u
1 , u1
1
ite u = , ~ [0,1]
log | ,... log ( )
It is not possible to maximize log | ,... because of
the unobserved random effects.
i
i i
TN
N it it ii i t
N
v v N
L v v F y v
L v v
x
29
A Computable Log Likelihood
1 1
u
log log ( , )
Maximize this functio
The unobserved heterogeneity is a
n with respect to , , .
How to compute the integral?
(1) Analyticall
verage
y? No, no
d
fo
o t
m
u
u
r
iTN
it it u i i ii tL F y v f v dv
x
la exists.
(2) Approximately, using Gauss-Hermite quadrature
(3) Approximately using Monte Carlo simulation
30
Quadrature – Butler and Moffitt
iT
it it u it 1
N
ii 1
N
ii 1
i
2
Th
F(y , v )
g(v)
v
1 -vexp
22
log
is method is used in most commercial software sin
L log dv
= log dv
(make a change of variable to w = v/
ce
2
198
=
2
x
N
ii 1
N H
i 1 h
2
h h
hh 1
1 l g( 2w)
g( 2z )
The values
og dw
The integral can be
of w (weights) and z
exp -w
(node
computed using
s) are found i
Hermite quadr
n published
tab
ature.
1
les such as A
log w
bramovitz and Stegun (or on the web). H is by
choice. Higher H produces greater accuracy (but takes longer).31
Quadrature Log Likelihood
xiN
h
H
i
T
it it u11 1 hth
After all the substitutions, the function to be maximized:
Not simple, but feasibl
1logL lo F(y , z )g
e
2
.
w
32
Simulation
xiN
ii 1 i
2i
T
it it u it 1
i
N
ii 1
N
i
i
i1
logL log dv
= log dv
T ]
The expected value of the functio
his equals log E[
n of v can be a
F(y ,
ppro
v
-v1
xima
ex
te
v )
g(v )
d
by dr
g(
aw
p22
v )
ing
xiTN R
S it it u ir
i
i 1
r
ir
r 1 t 1
R random draws v from the population N[0,1] and
averaging the R functions of v . We maxi
1logL log F(y , v
i
)R
mze
33
Random Effects Model----------------------------------------------------------------------Random Effects Binary Probit Model using the Butler and Moffitt methodLog likelihood function -16290.72192 Random EffectsRestricted log likelihood -17701.08500 PooledChi squared [ 1 d.f.] 2820.72616Significance level .00000McFadden Pseudo R-squared .0796766Estimation based on N = 27326, K = 5Unbalanced panel has 7293 individuals--------+-------------------------------------------------------------Variable| Coefficient Standard Error b/St.Er. P[|Z|>z] Mean of X--------+-------------------------------------------------------------Constant| -.11819 .09280 -1.273 .2028 AGE| .02232*** .00123 18.145 .0000 43.5257 EDUC| -.03307*** .00627 -5.276 .0000 11.3206 HHNINC| .00660 .06587 .100 .9202 .35208 Rho| .44990*** .01020 44.101 .0000--------+------------------------------------------------------------- |Pooled EstimatesConstant| .02159 .05307 .407 .6842 AGE| .01532*** .00071 21.695 .0000 43.5257 EDUC| -.02793*** .00348 -8.023 .0000 11.3206 HHNINC| -.10204** .04544 -2.246 .0247 .35208--------+-------------------------------------------------------------
34
Random Parameter Model----------------------------------------------------------------------Random Coefficients Probit ModelDependent variable DOCTOR (Quadrature Based)
Log likelihood function -16296.68110 (-16290.72192) Restricted log likelihood -17701.08500Chi squared [ 1 d.f.] 2808.80780Significance level .00000McFadden Pseudo R-squared .0793400Estimation based on N = 27326, K = 5Unbalanced panel has 7293 individualsPROBIT (normal) probability modelSimulation based on 50 Halton draws--------+-------------------------------------------------Variable| Coefficient Standard Error b/St.Er. P[|Z|>z]--------+------------------------------------------------- |Nonrandom parameters AGE| .02226*** .00081 27.365 .0000 ( .02232) EDUC| -.03285*** .00391 -8.407 .0000 (-.03307) HHNINC| .00673 .05105 .132 .8952 ( .00660) |Means for random parametersConstant| -.11873** .05950 -1.995 .0460 (-.11819) |Scale parameters for dists. of random parametersConstant| .90453*** .01128 80.180 .0000--------+-------------------------------------------------------------
ˆ
2
2
.90453
1+.90453.449998
35
Fixed Effects Models Estimate with dummy variable coefficients
Uit = i + ’xit + it
Can be done by “brute force” for 10,000s of individuals
F(.) = appropriate probability for the observed outcome Compute and i for i=1,…,N (may be large) See FixedEffects.pdf in course materials.
1 1log log ( , )iN T
it i iti tL F y
x
36
Unconditional Estimation
Maximize the whole log likelihood
Difficult! Many (thousands) of parameters.
Feasible – NLOGIT (2001) (“Brute force”)
37
Fixed Effects Health ModelGroups in which yit is always = 0 or always = 1. Cannot compute αi.
38
Conditional Estimation
Principle: f(yi1,yi2,… | some statistic) is free of the fixed effects for some models.
Maximize the conditional log likelihood, given the statistic.
Can estimate β without having to estimate αi. Only feasible for the logit model. (Poisson
and a few other continuous variable models. No other discrete choice models.)
39
Binary Logit Conditional Probabiities
i
i
1 1 2 2
1 1
1
T
S1 1
All
Prob( 1| ) .1
Prob , , ,
exp exp
exp exp
i it
i it
i i
i i
i i
t i
i
t i
it it
i i i i iT iT
T T
it it it itt t
T T
it it it i
T
itt
td St t
ey
e
Y y Y y Y y
y
d d
y
y
x
xx
x x
x x
β
β
i
t i
different
iT
it t=1 i
ways that
can equal S
.
Denominator is summed over all the different combinations of T valuesof y that sum to the same sum as the observed . If S is this sum,
there are
it
it
d
y
i
terms. May be a huge number. An algorithm by KrailoS
and Pike makes it simple.
T
40
Example: Two Period Binary Logit
i it
i it
i
i
i i i
t it i
it it
T
it itTt 1
i1 i1 i2 i2 iT iT it Tt 1
it itd St 1
2
i1 i2 itt 1
i1 i
eProb(y 1| ) .
1 e
exp y
Prob Y y , Y y , , Y y y ,data .
exp d
Prob Y 0, Y 0 y 0,data 1.
Prob Y 1, Y
x β
x β
x
x
x
2
2 itt 12
i1 i2 itt 12
i1 i2 itt 1
exp( )0 y 1,data
exp( ) exp( )exp( )
Prob Y 0, Y 1 y 1,data exp( ) exp( )
Prob Y 1, Y 1 y 2,data 1.
i1
i1 i2
i2
i1 i2
x βx β x β
x βx β x β
41
Estimating Partial Effects
“The fixed effects logit estimator of immediately gives us the effect of each element of xi on the log-odds ratio… Unfortunately, we cannot estimate the partial effects… unless we plug in a value for αi. Because the distribution of αi is unrestricted – in particular, E[αi] is not necessarily zero – it is hard to know what to plug in for αi. In addition, we cannot estimate average partial effects, as doing so would require finding E[Λ(xit + αi)], a task that apparently requires specifying a distribution for αi.”
(Wooldridge, 2002)42
Binary Logit Estimation Estimate by maximizing conditional logL Estimate i by using the ‘known’ in the FOC for the
unconditional logL
Solve for the N constants, one at a time treating as known.
No solution when yit sums to 0 or Ti
“Works” if E[i|Σiyit] = E[i].
1
exp( )( ) 0,
1 exp( )iT i it
it it itti it
y P P
x
x
43
Logit Constant Terms
ii
i
i
ˆT i it
i ˆt 1i i i i
Step 1. Estimate with Chamberlain's conditional estimator
Step 2. Treating as if it were known, estimate from the
first order condition
c1 e e 1y
T T 1 c1 e e
it
it
x β
x β
β
β
i iT T itt 1 t 1
t i i it
i i i i
it
i
i
c1T c
Estimate 1 / exp( ) log
ˆc exp is treated as known data.
Solve one equation in one unknown for each .
Note there is no solution if y = 0 or 1.
Iterating back
itx β
and forth does not maximize logL.
44
Fixed Effects Logit Health Model: Conditional vs. Unconditional
45
Advantages and Disadvantages of the FE Model
Advantages Allows correlation of effect and regressors Fairly straightforward to estimate Simple to interpret
Disadvantages Model may not contain time invariant variables Not necessarily simple to estimate if very large
samples (Stata just creates the thousands of dummy variables)
The incidental parameters problem: Small T bias
46
Incidental Parameters Problems: Conventional Wisdom
General: The unconditional MLE is biased in samples with fixed T except in special cases such as linear or Poisson regression (even when the FEM is the right model). The conditional estimator (that bypasses
estimation of αi) is consistent.
Specific: Upward bias (experience with probit and logit) in estimators of
47
What We KNOW - Analytic
Newey and Hahn: MLE converges in probability to a vector of constants. (Variance diminishes with increase in N).
Abrevaya and Hsiao: Logit estimator converges to 2 when T = 2.
Only the case of T=2 for the binary logit model is known with certainty. All other cases are extrapolations of this result or speculative.
48
Some Familiar Territory – A Monte Carlo Study of the FE Estimator: Probit vs. Logit
Estimates of Coefficients and Marginal Effects at the Implied Data Means
Results are scaled so the desired quantity being estimated (, , marginal effects) all equal 1.0 in the population.
49
A Monte Carlo Study of the FE Probit Estimator
Percentage Biases in Estimates of Coefficients, Standard Errors and Marginal Effects at the Implied Data Means
50
Bias Correction Estimators Motivation: Undo the incidental parameters bias in the
fixed effects probit model: (1) Maximize a penalized log likelihood function, or (2) Directly correct the estimator of β
Advantages For (1) estimates αi so enables partial effects Estimator is consistent under some circumstances (Possibly) corrects in dynamic models
Disadvantage No time invariant variables in the model Practical implementation Extension to other models? (Ordered probit model (maybe) –
see JBES 2009)
51
A Mundlak Correction for the FE Model
*it i
it it
i
y ,i = 1,...,N; t = 1,...,T
y 1 if y > 0, 0 otherwise.
(Projection, not necessarily conditional mean)
w
i it it
i iu
Fixed Effects Model :
x
Mundlak (Wooldridge, Heckman, Chamberlain), ...
x
u 1 2
*it
here u is normally distributed with mean zero and standard
deviation and is uncorrelated with or ( , ,..., )
y ,i = 1,...,N; t = 1,..
i i i iT
i it it iu
x x x x
Reduced form random effects model
x x i
it it
.,T
y 1 if y > 0, 0 otherwise.52
Mundlak Correction
53
A Variable Addition Test for FE vs. RE
The Wald statistic of 45.27922 and the likelihood ratio statistic of 40.280 are both far larger than the critical chi squared with 5 degrees of freedom, 11.07. This suggests that for these data, the fixed effects model is the preferred framework.
54
Fixed Effects Models Summary Incidental parameters problem if T < 10 (roughly) Inconvenience of computation Appealing specification Alternative semiparametric estimators?
Theory not well developed for T > 2 Not informative for anything but slopes (e.g.,
predictions and marginal effects) Ignoring the heterogeneity definitely produces an
inconsistent estimator (even with cluster correction!) A Hobson’s choice Mundlak correction is a useful common approach.
55
Dynamic Models
x
x
it it i,t 1 it i
it i,t 1 i0 it it i,t 1 i
y 1[ y u > 0]
Two similar 'effects'
Unobserved heterogeneity
State dependence = state 'persistence'
Pr(y 1| y ,...,y ,x ,u] F[ y u]
How to estimate , , marginal effects, F(.), etc?
(1) Deal with the latent common effect
(2) Handle the lagged effects:
This encounters the initial conditions problem.
56
Dynamic Probit Model: A Standard Approach
T
i1 i2 iT i0 i i,t 1 i itt 1
i1 i2 iT i0
(1) Conditioned on all effects, joint probability
P(y ,y ,...,y | y , ,u) F( y u ,y )
(2) Unconditional density; integrate out the common effect
P(y ,y ,...,y | y , )
i it
i
x x β
x
i1 i2 iT i0 i i i0 i
2i i0 i0 u i i1 i2 iT
i
P(y ,y ,...,y | y , ,u)h(u | y , )du
(3) (The rabbit in the hat) Density for heterogeneity
h(u | y , ) N[ y , ], = [ , ,..., ], so
u =
i i
i i
x x
x x δ x x x x
i0 i it
i1 i2 iT i0
T
i,t 1 i0 u i it i it 1
y + w (contains every period of )
(4) Reduced form
P(y ,y ,...,y | y , )
F( y y w ,y )h(w )dw
This is a random effects model
i
i
it i
x δ x
x
x β x δ
57
Simplified Dynamic Model
i
2i i0 i0 u
i i0 i
Projecting u on all observations expands the model enormously.
(3) Projection of heterogeneity only on group means
h(u | y , ) N[ y , ] so
u = y + w
(4) Re
i i
i
x x δ
x δ
i1 i2 iT i0
T
i,t 1 i0 u i it i it 1
duced form
P(y ,y ,...,y | y , )
F( y y w ,y )h(w )dw
Mundlak style correction with the initial value in the equation.
This is (again) a random effects mo
i
it i
x
x β x δ
del
58
A Dynamic Model for Public Insurance
AgeHousehold IncomeKids in the householdHealth Status
Basic Model
Add initial value, lagged value, group means
59
Dynamic Common Effects Model
1525 groups with 1 observation were lost because of the lagged dependent variable.
60