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st: likihood function is not concave in clogit model

From   Nina YIN <[email protected]>
To   [email protected]
Subject   st: likihood function is not concave in clogit model
Date   Fri, 29 Jun 2012 10:52:31 +0200

Dear all,

I have a purchasing data with more than 10000 observations over 20
products in 14 years. I am going to estimate the demand in conditional
fixed logit model. To solve the endogeneity problem, I need to add
product-year fixed effects. which implies 170 fixed effects should be
included in the clogit estimation. The results turn out that estimates
couldn't be achieved like this:

Iteration 327: log pseudolikelihood = -65789.386  (not concave)
Iteration 328: log pseudolikelihood = -65789.386  (not concave)
Iteration 329: log pseudolikelihood = -65789.386  (not concave)
Iteration 330: log pseudolikelihood = -65789.386  (not concave)
Iteration 331: log pseudolikelihood = -65789.386  (not concave)

If I simply use products fixed effects, the convergence could be
achieved and estimates will return. I just don't get what's the
problem in my model, several references could achieve convergence even
with much higher dimension of fixed effects. But why I couldn't? Is it
because of the data variation or my model specification? I am a
beginner and lack of knowledge in many aspects. Please feel free to
give me some advice!

Thank you very much!

Best Regards,
Nina YIN

Toulouse School of Economics
Manufacture des Tabacs
21 Allee de Brienne
Toulouse, 31000, France
Tel: 0033-(0)5 6123 8348
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