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st: poisson will not converge


From   Scott Cunningham <scunning@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: poisson will not converge
Date   Wed, 19 Apr 2006 17:06:48 -0400

I am estimating both a linear fixed effects model and a POisson fixed effects model. The data is individual-level longitudinal data from the National Longitudinal Survey of Youth 1997. I want to control for individual, state, year and state*year fixed effects. I can do this in OLS using -xtreg-, but when I attempt to add the state fixed effects (let alone the state*year fixed effects) in the POisson model, it will not converge. I let it run for 10,000 iterations and it was clearly unable to finish. Since Poisson is not a computationally difficult likelihood to solve, I think something must be going on with the state fixed effects. How do I brainstorm my way out of this? What's causing this to happen? *
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