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Re: st: Industry dummies - inflated standard errors


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Industry dummies - inflated standard errors
Date   Mon, 9 Jul 2012 11:20:46 +0200

On Mon, Jul 9 2012 at 10:28, Seliger Florian wrote:
>     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.

On Mon, Jul 9, 2012 at 10:42 AM, Stefano Lugo wrote:
> 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

Or better yet, use Stata's factor variable notation, see: -help fvvarlist-.

I would also look for small industries, and combine them with similar
industries such that each industry is large enough to get a reliable
estimate.

Moreover, I assume you know that adding indicator variables to
non-linear models will not result in a fixed effects model.
<http://www.stata.com/statalist/archive/2003-09/msg00103.html>

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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