Is your dog currently on a flea protection program? Mine had the really bad allergies before all the better flea protection came on the market. When some of the better products came on the market it made a huge difference. I lived in the north in a warm sandy area where the flea action was incredible. I remember going on holiday and coming back to my house to be completely attacked by fleas, I tried everything to get rid of them to no avail. It only took a few flea bites to get my dogs allergies going. After the newer products came online this problem dissapeared. I was very rigourous in their application to all my dogs. The special desensitisation course also helped I think especially as she also had several grass allergies.
It may of course be something else so a correct diagnosis would be good. I remember having a horse that lost all his hair and it turned out to be an auto immune system disease which did eventually clear up but it took time.