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Re: st: problem of running xtlogit, fe


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: problem of running xtlogit, fe
Date   Thu, 8 Oct 2009 05:56:10 +0000 (GMT)


--- On Thu, 8/10/09, J. Li <lij53@univmail.cis.mcmaster.ca> wrote:
> I am now running a fixed effect logit model using the
> following lines.
> (Note that the panel data I am using is with N=2,200 and
> T=10.) 
> 
> iis id
> xtlogit status treatment age group, i(id) fe 
> mfx, predict(pu0)
> 
> STATA then gave the notes as following--
> 
> note: multiple positive outcomes within groups
> encountered.
> note: 2054 groups (20506 obs) dropped due to all positive
> or
>       all negative outcomes.
> 
> After that STATA ran over more than 3000 iterations without
> stopping nor giving any results. The log-likelihood values
> didn't improve after iteration 40. For each iteration, it
> showed  "(not concave)" after every log likelihood value.
> Do you know why is this happening?

Fixed effects regression uses only information from changes within
an individual (firm, country, or whatever your unit may be), it
throws away all information that could be obtained from comparing
individuals. So, a fixed effects regression can do nothing with an
individual that doesn't change over time, and such an individual
is removed. Apparently, your data mainly consists of individuals
who do not change over time (as 2054 of your 2200 individuals where
dropped). Which means there is only a very small sample left. I 
would check whether this is correct, e.g. make sure that your 
dependent variable is coded 0, 1 and not 1, 2. If it is true that 
there is very little variation in outcome within individuals then
your problem is just not suitable for being analyzed with fixed
effects regression, and you can move on to random effects regression.

Hope this helps,
Maarten
 
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://www.maartenbuis.nl
--------------------------



      

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