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From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: re: WLS and dummies |

Date |
Sun, 17 Apr 2005 15:19:03 -0400 |

Javier wrote

I would like to ask a question that I had before but I

couldnt solve. The problem I have is the following: Im

aplliying shif-share method in a regression of data

panel. My dependent variable is the growth in

employment and I have as independent variables dummies

for industries, dummies for years and for regions. The

problem arises because I loose one region, one year

and one industrie because of the dummies use. I dont

want to loose this since they are useful for the

analysis I'm doing. Does anyone have an idea how to do

this?.

You can always include ONE complete (mutually exclusive and exhaustive) set of dummies in a regression by excluding the constant term. You gain nothing by doing so; the coefficients are just measured vs. zero rather than vs. the excluded class. But you cannot include TWO or more complete sets of dummies in a regression, irregardless of the treatment of the constant term, since each set of dummies sums to an iota vector of length N, and you can't have two of those in your regression. But then you don't need to; you can always calculate all the coefficients, in point and interval form, from the (G-1) dummies' coefficients. The lincom command is useful here.

Kit Baum, Boston College Economics

http://ideas.repec.org/e/pba1.html

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