st: conditional logit (clogit) where number of choices=number of dummyindicators

[John Fulton <fulton@ssc.wisc.edu>]

Hi.  I am running a clogit as McFadden's choice model with c choices,1  
record per choice within each chooser's "group."  I  created c dummies 
to interact with characterisics of choosers, but stata always drops one 
dummy due to collinearity. 
My question is: what exactly is the cause of collinearity here?

My guess is that the c choices just also happens to be equal to the 
number of records within each group, so that it is more a matter of 
degrees of freedom than it is collinearity.  That is, once stata has 
considered c-1 choices, the cth choice - and it always is the last one - 
is determined.

This is somewhat confusing because standard practice in ols regressions 
without intercepts is to include dummies for all c categories of an 
indicator, rather than the more typical case of c-1 dummies in 
regressions with intercepts.  Since conditional logit intercepts drop 
out, I thought c dummies would be called for.

What do you think?
Thanks,
John.

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