There was an extremely useful discussion on the list recently about
this issue in the context of fixed effects binary logit models. In
short, adding the fixed effects 'by hand' results in biased estimates
unless the number of time periods is large. See the thread starting
with:
http://www.stata.com/statalist/archive/2007-10/msg00935.html
Arne
> I simply ran the
> glm model with family(binomial) and link(logit) options, and inserted the
> fixed effects manually using xi. This seems to work ok, although maybe
> someone can tell me if there is a problem with estimating the model this way.
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