logit and probit with high dimensional fixed effects

[Alessandr De Palma]

Hello statalist community,
Does any package that handles high dimensional fixed effects with logit and probit exists? I know about the existence of reghdfe, but I haven't seen any command like it for binary dependent variables. Are you aware of any package that can solve the issue of including multiple fixed effects in a logit? Thank you!
Alessandro.

[Jeff Wooldridge]

With the exception of Poisson regression, adding many fixed effects to nonlinear models causes an incidental parameters problem. It’s not just a computational issue; it’s a statistical one.

[Carlo Lazzaro]

Alessandro:
as an aside to Jeff's obviously helpful reply, you may want to take a look at Lancaster's The incidental parameter problem since 1948 - ScienceDirect

[FernandoRios]

Jeff Wooldridge Isn't this where Correlated Random Effect models can be used for analysis?
Not quite FE estimators, but a good option for nonlinear models, if I understood your work correctly.

[Jeff Wooldridge]

Indeed, Fernando. The CRE approach is a nice alternative. And, in the linear case with additive heterogeneity, it reduces to the usual FE estimator.