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From |
Nils Braakmann <[email protected]> |

To |
[email protected] |

Subject |
st: Conditional /FE Logit with time dummies (problems with it to be specific) |

Date |
Tue, 2 Jun 2009 15:38:05 +0200 |

Dear all, this is more of a general econometrics question. On several occasions (looking at different questions using different econometric specifications) I have encountered a strange(?) problem when using -clogit- (-xtlogit, fe-) to estimate a fixed effects logit with time dummies: The model converges easily and quickly without time dummies, but the log likehood becomes non-concave when adding the time dummies. When using a linear probability model with time dummies (estimated by -xtreg,fe-) all estimates appear normal in the sense that point estimates are reasonable, there are no dropped time dummies, missing standard errors or something similar. Estimates are also qualitatively similar to the conditional logit estimates without time dummies. Sample sizes differ somewhat between the various occasions where I encountered this problem but are usually around 100,000 person-year-observations from roughly 10,000 individuals (unbalanced panel, excluding individuals that were dropped due to constant outcomes, individuals are observed for at most 22 periods). Further control variables include some dummies and some continous variables (exact number depending on the specific model, but usually not more than 20, some of the dummies are "1" for very few cases, e.g. 80). All of these appear to have sufficient within-individual variation. On of the occasions I experimented with a cubic time trend instead of the time dummies. Here, the linear and the quadratic term were dropped due to multicollinearity. While this seems to be root of my problem, I am still not sure why this multicollinearity does not cause problems in the linear probability models. Additionally, I am not sure how to find out what causes this multicollinearity. I would greatly appreciate any comments. In particular, am I missing something (theoretically) obvious here (like some famous result that the conditional logit model is not identified with time dummies...)? Or is this problem data specific and I am just unlucky to encounter this on different occasions in a row? Additionally, if anyone has a good idea on how to find the problematic variables, I would love to hear it. Best regards, Nils * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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