Re: st: Is there anything in logit similar to the absorb option in areg?

[Richard Williams <richardwilliams.ndu@gmail.com>]

At 02:28 AM 5/26/2010, Maarten buis wrote:
> --- On Wed, 26/5/10, Leigh Lee wrote:
> > In areg, absorb option accomodats a large number of
> > dummies.  Is there anything simiar in the routine to
> > estimate logit (or probit)?
>
> -areg- is a (outdated) way of doing a fixed effects
> regression. However, the trick of adding dummies in order
> to estimate a fixed effects regression does not work in
> non-linear models. The "classic reference" on this list
> regarding this issue is:
> <http://www.stata.com/statalist/archive/2003-09/msg00103.html>
>
> If you want to do a fixed effects regression use -clogit-
> instead.
>
> Hope this helps,
> Maarten

Thanks for pointing that out Maarten.  It is always annoying/ 
surprising when something that works with OLS does not generalize to 
other methods. Does that post help to explain why there is no such 
thing as an xtologit or xtoprobit command?  I keep on getting 
requests to write xtoglm and xtgologit2 commands, and the fact that 
there is no xtologit/ xtoprobit command makes me wonder if it would 
be a bad idea.

This also ties in with our discussion of logit versus probit the 
other day.  It seems to make little difference which you use for 
basic models, but once you get into more advanced models there may be 
good reasons for choosing one link over the other.


-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
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