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st: Some problems with clogit convergence when adding year dummies

From   Nils Braakmann <[email protected]>
To   [email protected]
Subject   st: Some problems with clogit convergence when adding year dummies
Date   Tue, 5 Jan 2010 14:03:13 +0100

Dear all,

I have a large panel of roughly 50,000 observations over 20 years. I
model the effects of a time-varying variable on individual employment
probabilities using -clogit- with the individuals as groups. To be
specific, I use the following command

- clogit work degree `indepvars', group(persnr) cluster(persnr) -,
which runs fine.

The trouble starts when I add year dummies, which leads to severe
convergence problems (nonconcave likelihood for several hundred
iterations, etc.). If I remember correctly, I had the exact same
problem in a different context some time ago. I was able to use a
work-around back then, which unfortunately isn't possible with my
current problem. The strange thing is that this only happens with year
dummies. For instance, if I add about the same number of region
dummies the model converges just fine. Given that I've encountered the
exact same problem twice, I ask myself: Am I just unlucky and this is
a strange coincidence or do I miss something fundamental about
conditional logits on panel data and time effects?

Any input is greatly appreciated.

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