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


From   "Jorge Morgenstern" <jmorgenstern@utdt.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Rsquared within using id & time dummies. xtreg returns collineality error
Date   Thu, 24 Nov 2005 14:44:54 -0300

I am trying tu use a daily sample, with dummy variables both for country (30) , for year (10) and for country*year (300, as to take into account possible fundamentals that differ across countries and across times).
I think that what I get using your suggestion is only the 40 dummies , for years and countries separated.
The areg command with i.year*i.country dummies results in different coefficients than the xtreg command with i.year and fixed effects.

Jorge.

I am not sure what is your purpose, but I suggest to do the following:
* fixed with time-dummies
qui tab id, g(dum)
xtreg vary varx dum*, fe
R-2 (within) is in e(r2). areg does not compute R-2 (within) but can
use robust (White) std error correction.
Rodrigo.
----- Original Message ----- From: "Jorge Morgenstern" <jmorgenstern@utdt.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, November 24, 2005 11:07 AM
Subject: st: Rsquared within using id & time dummies. xtreg returns
collineality error

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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