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st: likihood function is not concave in clogit model


From   Nina YIN <yinnina.ccer@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: likihood function is not concave in clogit model
Date   Fri, 29 Jun 2012 10:52:31 +0200

Dear all,

I have a purchasing data with more than 10000 observations over 20
products in 14 years. I am going to estimate the demand in conditional
fixed logit model. To solve the endogeneity problem, I need to add
product-year fixed effects. which implies 170 fixed effects should be
included in the clogit estimation. The results turn out that estimates
couldn't be achieved like this:

---------
Iteration 327: log pseudolikelihood = -65789.386  (not concave)
Iteration 328: log pseudolikelihood = -65789.386  (not concave)
Iteration 329: log pseudolikelihood = -65789.386  (not concave)
Iteration 330: log pseudolikelihood = -65789.386  (not concave)
Iteration 331: log pseudolikelihood = -65789.386  (not concave)
--------

If I simply use products fixed effects, the convergence could be
achieved and estimates will return. I just don't get what's the
problem in my model, several references could achieve convergence even
with much higher dimension of fixed effects. But why I couldn't? Is it
because of the data variation or my model specification? I am a
beginner and lack of knowledge in many aspects. Please feel free to
give me some advice!

Thank you very much!

-- 
Best Regards,
Nina YIN


Toulouse School of Economics
Manufacture des Tabacs
21 Allee de Brienne
Toulouse, 31000, France
Tel: 0033-(0)5 6123 8348
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