Grazia,
Assuming that your response variable does indeed follow a logisitic
distribution, then -xtlogit, fe- would be the place to start.
As for time dummies, I see no difficulties in using them so long as you
have adequately large numbers of observations in your dataset, which
_might_ be a problem if you have got a lot of missing values in your
response variable column.
Unfortunately, I cannot advise you comprehensively on -clogit-. I'm not
that clever! I would think that using time counters would be satisfactory,
but other (better) statisticians on this list might think otherwise. To
test for firm-specfic effects, could you not run a command such as:
xi: xtlogit depvar x1 x2 i.firm, fe ?
Maybe you could assess them this way.
Hope all this helps.
C.
Grazia Santangelo wrote:
> I have an unbalanced panel of firms and times and three other explanatory
> variables.
>
> I want to estimate a fixed effect model with fixed effects for: firms and
> time.
>
> My dependent variable is a binary one (0/1).
>
> How should I proceed in stata?
>
> I added (T-1) time dummies and estimate the model with clogit including
> firm as
> the �group� variable. Therefore, what I did is the following:
>
> clogit y1 x1-xk i.t, group(firm)
>
> Does anyone know if it is correct to include time dummies when using
> clogit?
>
> How do I check for a firm specific effect?
>
> How do I assess the goodness of fit of the model?
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