--- "Pavlos C. Symeou" <[email protected]> wrote:
> The model does not converge if I leave out the firm and time dummies,
> unless I also reduce the number of variables in the model. However,
> reduction of the number of variables puts my model in the risk of
> misspecification. In addition, since I want the model to exploit the
> panel data information, I cannot keep firm-specific and time-specific
> effects out, either. I have followed your suggestions below and have
> found no problems with my data.
I would add and remove variables till I found the variable that causes
the problem and than have a close look at that variable and how it is
related with the other variables till I find the source of the problem.
The problem sounds to me like the model is not identified due to some
form of (near) perfect multicolinearity. This can easily happen if add
a large number of dummies, so my initial answer focused on that, but
apperently it is one of the other variables.
Hope this isn't too vague,
Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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