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Re: st: Is there anything in logit similar to the absorb option in areg?


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Is there anything in logit similar to the absorb option in areg?
Date   Wed, 26 May 2010 08:12:25 -0500

At 02:28 AM 5/26/2010, Maarten buis wrote:
--- On Wed, 26/5/10, Leigh Lee wrote:
> In areg, absorb option accomodats a large number of
> dummies.  Is there anything simiar in the routine to
> estimate logit (or probit)?

-areg- is a (outdated) way of doing a fixed effects
regression. However, the trick of adding dummies in order
to estimate a fixed effects regression does not work in
non-linear models. The "classic reference" on this list
regarding this issue is:
<http://www.stata.com/statalist/archive/2003-09/msg00103.html>

If you want to do a fixed effects regression use -clogit-
instead.

Hope this helps,
Maarten

Thanks for pointing that out Maarten. It is always annoying/ surprising when something that works with OLS does not generalize to other methods. Does that post help to explain why there is no such thing as an xtologit or xtoprobit command? I keep on getting requests to write xtoglm and xtgologit2 commands, and the fact that there is no xtologit/ xtoprobit command makes me wonder if it would be a bad idea.

This also ties in with our discussion of logit versus probit the other day. It seems to make little difference which you use for basic models, but once you get into more advanced models there may be good reasons for choosing one link over the other.


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Richard Williams, Notre Dame Dept of Sociology
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