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st: Rsquared within using id & time dummies. xtreg returns collineality error


From   "Jorge Morgenstern" <jmorgenstern@utdt.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Rsquared within using id & time dummies. xtreg returns collineality error
Date   Thu, 24 Nov 2005 13:07:40 -0300

Hi everyone,
I have a cross-section time series model, with panel variable for country and monthly data.
I'm trying to run a regresion with country and year dummies, to control for idiosyncratic issues.
I can run the model with "xi: areg vary varx i.id*i.time", but when I try to use the "xi: xtreg vary varx i.id*i.time", but it returns an error saying that the regressors are collinear with the panel variable.
I was able to run the model using xtreg only with i*time dummies, but it returned different coefficients than those from the areg, then it's not performing what I wanted.
How can I obtain the Rsquared within for my model?

Regards,
Jorge.

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