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st: Ologit and incidental parameter problem


From   "CASTELLUCCI Fabrizio" <fcastellucci@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Ologit and incidental parameter problem
Date   Mon, 27 Aug 2007 15:57:33 +0200

I'm running an ologit on an unbalanced panel. the DV has 7 categories,
T=22, and I have 3182 observation. Among other estimators, i included
21 dummies as fixed effects. One reviewer suggested that, by doing so,
i have an incidental parameter problem. I though that given my panel
size the problem should not be that serious, but i was wondering
whether there are ways to tackle such problem.

thanks

Fabrizio
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