关于0-1因变量的面板想用Logit

面板数据想用logit，不想用xtlogit，老师建议设置行业虚拟变量缓解遗漏变量问题，可是带着行业虚拟变量运行后说是存在共线性问题，好多数据都被删掉了，这是为什么，怎么处理？

雪泡xue 发表于 2014-2-22 14:15
那你加行业的dummy 了吗

加了 你用fama-french 12 industry

in this case, it seems better to use random effect instead of fixed effect as suggested.  Other people may have better suggestions.

jjjj6666 发表于 2014-2-16 11:37
in this case, it seems better to use random effect instead of fixed effect as suggested.  Other peop ...

How do you know  which type of effect I use? I donnot add fe or re.

jjjj6666 发表于 2014-2-16 11:37
in this case, it seems better to use random effect instead of fixed effect as suggested.  Other peop ...

You mean that I should not use dummy variables?

yes, it loos like the dummy variables caused the problem.  The dummy variable is used in the model as fixed effects, you can try random effect for the industry instead of putting dummy variables

jjjj6666 发表于 2014-2-16 22:31
yes, it loos like the dummy variables caused the problem.  The dummy variable is used in the model a ...

How can I use random effect when I use logit.

I think you have to use xtlogit, but it seems you didn't want to use this approach?

jjjj6666 发表于 2014-2-16 11:37
in this case, it seems better to use random effect instead of fixed effect as suggested.  Other peop ...

His problem is the same as mine days ago,LOL

https://bbs.pinggu.org/forum.php? ... ;page=2#pid23589768  see the discussion.