st: Fixed effects duration model with only one spell per individual

["Maria Rochina" <erochina@uv.es>]

Dear Sir/madam,

We are estimating with STATA a duration model transformed in a binary
choice model (as suggested by Allison, 1982, and Jenkins, 1995) that we
wanted to estimate using the stata command clogit, because we are
interested in allowing for fixed effects in the duration model. But
doing so we had the problem of not being able to estimate the duration
dependence parameters because the model does not converge when we
include them. In relation to this problem we have found a working paper
by Paul D. Allison and Nicholas Christakis (2000) that seems to imply
that duration dependence parameters or covariates that change
monotonically with time cannot be estimated with conditional logit
applied to duration data, not because they disappear with the
conditional probability (something that happens with time constant
covariates) but because there is a lack of convergence driven by a
perfect prediction of the outcomes in these type of models (where there
is a dependent variable with value 1 only when the spell finishes for a
given individual). Therefore, if we estimate the duration model with the
conditional logit approach (not including the duration dependence
dummies) it seems we are not in fact controlling for duration dependence
and, this can bias our estimates of all the other covariates in our
model.