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From |
Nils Braakmann <[email protected]> |

To |
[email protected] |

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

Date |
Tue, 5 Jan 2010 14:59:40 +0100 |

Hi Maarten, thanks for your input, but I'm not sure that this is the problem. The year effects are identical for everyone, while my variables of interest (assume a dummy for the sake of simplicity) switch in different years for different people. In other words, the model is y_it = 1{a_i + g_t + tau*d_it + u_it > 0}, where a_i is the individual fixed effect, g_t is the common time effect and d_it is the variable of interest. What you have in mind sound to me like a model of the sort y_it = 1{a_i* g_t + tau*d_it + u_it > 0}, that is a model with individual specific time effects which would indeed exhaust all available information. What could be the case though is that I end with too few individuals for whom the dependent variable and the variable of interest change jointy in each year. In fact, I just tried to use two-year intervals annd now everything runs fine and looks reasonable (at least at a first glance). Thanks again and best wishes, Nils On Tue, Jan 5, 2010 at 2:35 PM, Maarten buis <[email protected]> wrote: > --- 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 > > -------------------------- > Maarten L. Buis > Institut fuer Soziologie > Universitaet Tuebingen > Wilhelmstrasse 36 > 72074 Tuebingen > Germany > > http://www.maartenbuis.nl > -------------------------- > > > > > * > * 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/ > * * 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/

**Follow-Ups**:**AW: st: Some problems with clogit convergence when adding year dummies***From:*"Martin Weiss" <[email protected]>

**References**:**st: Some problems with clogit convergence when adding year dummies***From:*Nils Braakmann <[email protected]>

**Re: st: Some problems with clogit convergence when adding year dummies***From:*Maarten buis <[email protected]>

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