Dear all,

I am estimating a probit model with individual-level data on sickness and district-level data on soil contamination. The model estimates the probability of getting sick from soil contamination and I am estimating the marginal effects of the contamination. I have seven variables on contaminations such as arsenic, cadmium, mercury, etc. I have cross-sectional data at the district level. My model runs ok without district fixed effects and with additional control variables. However, when I add i.district (district fixed effects) to the model, many districts are omitted because of collinearity, and Stata says "convergence" not achieved after 16,000 iterations.

I would appreciate any help and hints on how to fix this issue.

my command: probit sick ave_s_arsenic ave_s_cadmium ave_s_copper ave_s_mercury ave_s_nickel ave_s_lead ave_s_zinc hhsize age female schooling married i.district, robust
foreach c in ave_s_arsenic ave_s_cadmium ave_s_copper ave_s_mercury ave_s_nickel ave_s_lead ave_s_zinc hhsize age female schooling married _cons { margins, dydx(`c') atmeans contrast }


Below is the output with the control variables and fixed effects.

Iteration 15999: log pseudolikelihood = -897.2352 (not concave)
Iteration 16000: log pseudolikelihood = -897.2352 (not concave)
convergence not achieved
Probit regression Number of obs = 4,476
Wald chi2(27) = 301.78
Prob > chi2 = 0.0000
Log pseudolikelihood = -897.2352 Pseudo R2 = 0.1008
Robust
sick Coef. Std. Err. z P>z [95% Conf. Interval]
ave_s_arsenic .0151015 .127374 0.12 0.906 -.2345469 .2647498
ave_s_cadmium .061447 .1980178 0.31 0.756 -.3266607 .4495547
ave_s_copper .0911823 .1574646 0.58 0.563 -.2174426 .3998073
ave_s_mercury -.0042525 .042269 -0.10 0.920 -.0870983 .0785932
ave_s_nickel -.0592163 .0252869 -2.34 0.019 -.1087777 -.0096549
ave_s_lead -.1195374 .2328372 -0.51 0.608 -.5758899 .336815
ave_s_zinc -.025928 .2773928 -0.09 0.926 -.5696079 .5177518
hhsize -.0220666 .022386 -0.99 0.324 -.0659425 .0218092
age .0147476 .0019474 7.57 0.000 .0109308 .0185644
female .1434831 .0635808 2.26 0.024 .0188669 .2680993
schooling -.0242093 .0069835 -3.47 0.001 -.0378968 -.0105219
married -.1073514 .0758817 -1.41 0.157 -.2560769 .041374
district
Matad .4957028 .2886804 1.72 0.086 -.0701004 1.061506
Baruun-Urt .7779955 1.052935 0.74 0.460 -1.285719 2.84171
Sukhbaatar .7638064 .8018887 0.95 0.341 -.8078665 2.335479
Tuvshinshiree -.0674407 .3914831 -0.17 0.863 -.8347335 .6998521
Kherlen .6869447 .3192918 2.15 0.031 .0611442 1.312745
Batnorov .6739175 .296393 2.27 0.023 .0929979 1.254837
Bayan-Ovoo .4073151 .467568 0.87 0.384 -.5091014 1.323732
Darkhan .6915699 .3796485 1.82 0.069 -.0525276 1.435667
Tsenkhermandal .6399382 .3723019 1.72 0.086 -.0897602 1.369637
Bayan .8625859 .4420719 1.95 0.051 -.0038591 1.729031
Jargalant 1.53748 .8141955 1.89 0.059 -.0583141 3.133274
Zaamar .651218 .3193779 2.04 0.041 .0252488 1.277187
Sergelen .2986526 .4610042 0.65 0.517 -.604899 1.202204
Ugtaal 1.021395 .2698989 3.78 0.000 .4924027 1.550387
Erdene 0 (omitted)
Bayangol 0 (omitted)
Eroo 0 (omitted)
Airag 0 (omitted)
Dalanjargalan .4977266 .2686392 1.85 0.064 -.0287967 1.02425
Orgon 0 (omitted)
Darkhan 0 (omitted)
_cons -1.836731 . . . . .
convergence not achieved
r(430);
end of do-file
r(430);
Kind regards,
​​​​​​​Odmaa