[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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

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
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,

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
> --------------------------
> *
> *   For searches and help try:
> *
> *
> *

*   For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index