I have incidentally found that panel data models (as far as I found the Statalist, xtreg with -FE option)
cannot have time invariant variables and will be automatically omitted when included.
In a general sense, then all xt- models (including xtgee) cannot have time invariant variables?
Or in what instance does this fact come in effect?
Second, then does this mean that I cannot use time invariant variables (like sex (M/F)) even
when these variables may be important?
I have two books about panel data (Twisk, and Sophia Rabe-Hesketh) but did not find this fact.
Is it written in these books?
