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AW: st: Industry dummies - inflated standard errors
From
"Seliger Florian" <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
AW: st: Industry dummies - inflated standard errors
Date
Mon, 9 Jul 2012 14:38:57 +0000
Thank you Maarten.
Using factor variables solves the problem.
However, I don't understand why? What is the differenc between using dummy_1-dummy_33 and i.dummy?
Best,
Florian
-----Ursprüngliche Nachricht-----
Von: [email protected] [mailto:[email protected]] Im Auftrag von Maarten Buis
Gesendet: Montag, 9. Juli 2012 11:21
An: [email protected]
Betreff: Re: st: Industry dummies - inflated standard errors
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
--------------------------
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