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Re: st: likihood function is not concave in clogit model

From   Maarten Buis <[email protected]>
To   [email protected]
Subject   Re: st: likihood function is not concave in clogit model
Date   Fri, 29 Jun 2012 12:32:34 +0200

On Fri, Jun 29, 2012 at 10:52 AM, Nina YIN wrote:
> 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:

> 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?

By estimating a fixed effects model you throw away a lot of
information, so it can easily happen that even with 10000 observations
there just isn't enough information present in your data to estimate
the effects of a 169 indicator variables. What about adding indicator
variables for product and year but not their interaction? That way you
would end up with a more manageable set of 32 indicator variables.

-- Maarten

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