I have a panel data which I would like to fit a logit/xtlogit for it. I added i.year as time dummiesin my model for capturing common year effects and I got estimated time coefficient for each in-sample years. However, an issue arises when I want to calculate out of sample probability because there are no estimated intercepts for out of sample years. Do you have any suggestion for handling this issue? I notice that if I use c.year instead of i.year I can calculate out of sample probability but my in sample predictions looks nicer using i.year.
Thanks in advance for your suggestions
Sepi