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st: Re: time trend and fixed effect


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: time trend and fixed effect
Date   Thu, 17 Jun 2004 07:21:02 -0400

On Jun 16, 2004, at 2:33 AM, Dan wrote:

[Most requests here at NBER for Stata-SE are from users with fixed effect
models who expect to add a dummy variable for each respondent in a panel.
They are usually easily convinced that this is not necessary. However
sometimes users want to interact a time trend with the fixed effect. Is
there a way to estimate such a model without adding a variable for each
respondent?]
Literally, no, but if you consider the basic notion of linear detrending, why not detrend the dependent variable before estimation on a by-panel basis, rather than estimating N trend coefficients within the regression? For a single time series, partialling out the time trend and then regressing detrended y on X will get you the same dy/dX as the regression of y on (X,t)...

Kit

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