Hi,

I am studying an unbalanced panel of companies with a year-industry fixed effects logit model (5 years, 12 industries). The fixed effects have been modeled using least square dummy variables.

In interpreting the coefficients, I have run into texts arguing against interpreting marginal effects in the presence of fixed effects. Could someone explain in simple terms why e.g. average marginal effects cannot be used? If I have understood correctly, the AME calculation ought to take the LSDV into account for every observation in the sample.

Second, I have also found and tried the aextlogit command by Prof Santos Silva. When I attempt to use robust standard errors, this happens:
Code:
. xtset industry
       panel variable:  industry (unbalanced)

. aextlogit Y X1 X2 X3 i.year, vce(robust)
vcetype 'robust' not allowed
What could cause this? Many thanks in advance!