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Re: st: Re: RE: controlling what variables to dropping?


From   Scott Cunningham <scunning@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: RE: controlling what variables to dropping?
Date   Mon, 17 Oct 2005 13:02:34 -0400

On Oct 17, 2005, at 10:13 AM, Andrea Molinari wrote:

Steve,
Thanks for your suggestion. I have included country dummies by hand into my
(linear) cross-section model. The problem I've got is that some of those
country dummies get dropped, and I cannot have control over the dummies that
get dropped.
If the dummies are time-invariant, then fixed effects will eliminate them. I don't know of a way, offhand, to recover the coefficients of time-invariant regressors, either. The gain from FE is that it eliminates time-invariant unobserved heterogeneity, but the problem is that it also eliminates all time-invariant covariates. If you're wanting to eliminate heterogeneity, while still estimating the effect of country dummies, I think you may need to look at something other than linear fixed effects. *
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