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Re: st: Industry dummies - inflated standard errors


From   Stefano Lugo <stefano.lugo@mail.polimi.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Industry dummies - inflated standard errors
Date   Mon, 09 Jul 2012 10:42:14 +0200

Dear Florian,

Do you get a -convergence not achieved- message?
Sometimes those models have an hard time when fixed effects are included; here are a couple of heuristic solution that in my experience might work:

1) Try to directly exclude collinear indicators instead of letting stata dropping them 2) Try to run the estimation twice: sometimes the first one is useful to set a better starting point that helps convergence.

Best,
Stefano

Il 09/07/2012 10:28, Seliger Florian ha scritto:
Dear statalisters,

as I only have little experience, I would be happy if you could try to answer my question.

After entering industry dummies into probit or multinomial logit models (or other models, I haven't tried...), I sometimes experience the problem that standard errors of the coefficients of the dummies tend to infinity and p-values tend to one. I am working with firm level surveys.

Do you have an explanation for this phenomenon?

Thank you for your consideration.

Florian


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Stefano Lugo, PhD
Politecnico di Milano
P.za Leonardo da Vinci 32
20133 Milan, Italy

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