I am using xtlogit on the following data:
input str2 st int date byte club float(combo l ca com) byte vmse
"AK" 22412 0 .05 0 0 0 0
"AK" 22419 0 .05 0 0 0 0
"AK" 22426 0 .05 0 0 0 0
"AK" 22433 0 .06 0 0 0 0
"AK" 22440 0 .06 0 0 0 0
"AK" 22447 0 .06 0 0 0 0
"AK" 22454 0 .06 0 0 0 0
"AK" 22461 0 .06 0 0 0 0
"AK" 22468 0 .09 0 0 0 0
"AK" 22475 0 .09 0 0 0 0
"AK" 22482 0 .09 0 0 0 0
"AK" 22489 0 .09 0 0 0 0
"AK" 22496 0 .19 0 0 0 0
"AK" 22503 0 .1923 0 0 0 0
"AK" 22510 0 .1923 0 0 0 0
"AK" 22517 0 .29 0 0 0 0
"AK" 22524 1 .4111 0 0 0 0
"AK" 22531 1 .4111 1 0 0 0
"AK" 22538 1 1 1 0 0 0
"AK" 22545 1 1 1 0 0 0
"AK" 22552 1 1 1 0 0 0
"AK" 22559 1 1 1 0 0 0
"AK" 22566 1 1 1 0 0 0
"AK" 22573 1 1 1 0 0 0
"AK" 22580 1 1 1 0 0 0
"AK" 22587 1 1 1 0 0 0
"AK" 22594 1 1 0 0 0 0
"AK" 22601 1 1 0 0 0 0
"AK" 22608 1 1 0 0 0 0
The data is at the state and week level. My dependent variable is club, which is binary. Combo is a federal level variable between 0 and 1 that varies over time, but does not vary by state. L, ca, com, and vmse vary over time and state, and also have a range between 0 and 1.
When I run xtlogit, re I have no problem. When I run xtlogit, fe with all the variables, I get the message that convergence is not achieved. When I remove the combo regressor and re-run the fixed effects model then convergence is achieved, but the combo regressor is key to my regression, so I do not want to exclude it. I have checked collinearity, and all my VIF's are below 3.
There are 11 states that are dropped due to no variation in club in those states, but that leaves 40 states (DC included) that do have variation.
My questions are:
1. why does xtlogit, re converge while xtlogit, fe does not?
2. why does xtlogit, fe converge if combo is excluded but not if it is included?
I appreciate any feedback.
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