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st: ordered probit panel data model with fixed effects


From   "J. Li" <lij53@univmail.cis.mcmaster.ca>
To   statalist@hsphsun2.harvard.edu
Subject   st: ordered probit panel data model with fixed effects
Date   Fri, 14 Aug 2009 14:54:15 -0400

Hi all,

I have a question about running ordered probit panel data model with
fixed effects. I know the discussion on the incidental parameters
problem with using fixed effects nonlinear panel data model with large
N and small T. However, my work involves estimating the basic ordered
probit panel data model with individual fixed effects before applying
adjustment to the estimates so that the bias could be corrected with
respect to the parameters of interests. My problem now is with the
simple estimation with ordered probit fixed effects model. The
estimation line can be simplied as this: 

xi: oprobit health education income age gender i.ID, robust
cluster(individual)

where i.ID are all the individual dummies (there are 3,733 dummies in
my case)

After the estimation, I got the warning message as: 4,305 observations
completely determined. s.e. questionable. (note that this panel is with
N=3,733 and T=6). Should I be concerned with this warning message? What
does this mean? And what should I do to solve this problem? Thank you
so much!

Jinhu 
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