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Re: st: Some problems with clogit convergence when adding year dummies

From   Maarten buis <[email protected]>
To   [email protected]
Subject   Re: st: Some problems with clogit convergence when adding year dummies
Date   Tue, 5 Jan 2010 05:35:33 -0800 (PST)

--- On Tue, 5/1/10, Nils Braakmann wrote:
> 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. The trouble starts when I add year dummies, which leads to
> severe convergence problems (nonconcave likelihood for several
> hundred iterations, etc.). 

So you have data on individuals observed for multiple years.
With a fixed effects model you have taken out all the information
you might obtain from comparing individuals. This is a good thing
in the sense that by only comparing individuals with themselves
you are more likely to compare like with like, but it is also a
bad thing as you are throwing away information. If your data is
collected annually, and you added year dummies, then it seems to 
me that the fixed effects in combination with the year dummies 
will have exhausted all the information that is present in your 
data, and that the effect of any additional variables are thus not identified, and Stata will show that by not converging.

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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