Re: st: Industry dummies - inflated standard errors

[Maarten Buis <maartenlbuis@gmail.com>]

On Mon, Jul 9 2012 at 10:28, Seliger Florian wrote:
>     After entering industry dummies into probit or multinomial logit models
>  (or other models, I haven't tried...), I sometimes experience the problem
> that standard errors of the coefficients of the dummies tend to infinity and
> p-values tend to one.

On Mon, Jul 9, 2012 at 10:42 AM, Stefano Lugo wrote:
> Sometimes those models have an hard time when fixed effects are included;
> here are a couple of heuristic solution that in my experience might work:
>
> 1) Try to directly exclude collinear indicators instead of letting stata
> dropping them

Or better yet, use Stata's factor variable notation, see: -help fvvarlist-.

I would also look for small industries, and combine them with similar
industries such that each industry is large enough to get a reliable
estimate.

Moreover, I assume you know that adding indicator variables to
non-linear models will not result in a fixed effects model.
<http://www.stata.com/statalist/archive/2003-09/msg00103.html>

Hope this helps,
Maarten

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


http://www.maartenbuis.nl
--------------------------
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/