Thanks so much, Maarten.
I'll look into that.
--David
-------------- Original message from Maarten buis <[email protected]>: --------------
> --- [email protected] wrote:
> > I'm running a probit on a set of many thousands of observations.
> > There are a few thousand variables involved, most of which are
> > dummies hith very few 1s.
> > (I weeded out the constant-0 variables ahead of time.)
>
> This to me sounds like you are trying to do some kind of fixed effects
> model by adding dummies. Bad news is you can't do it that way:
> http://www.stata.com/statalist/archive/2007-10/msg00935.html
>
> The good news is that you can do an fixed effects logit with -xtlogit-.
>
> This is also more likely to converge.
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