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st: Re: Time invariant variables and panel data


From   "Christer Thrane" <ch-thran@online.no>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Time invariant variables and panel data
Date   Sat, 27 May 2006 18:38:38 +0200

Hi,

If you estimate random effects models, you can have both time-varying and time-invariant variables on the right hand side.

If you estimate fixed effects models, you must have time-varying on the right hand side. But fixed effects also handles interactions between time-varying and time-invariant right hand side variables. (Then the interaction is no longer time-invariant.)

Take a look at Woldridge's Basic Econometrics. A modern introduction--it's on Stata website.

HTH

Christer
************************************************
Professor Christer Thrane
Department of Social Science
Lillehammer University College
2626 Lillehammer, Norway
+ 47 61 28 81 70 (fax)
+ 47 61 28 82 47 (phone, work)
+ 47 61 25 53 04 (phone, home)
E-mail, work: christer.thrane@hil.no
E-mail, home: ch-thran@online.no
************************************************



----- Original Message ----- From: "Rho YH" <mania1@korea.ac.kr>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, May 27, 2006 4:48 PM
Subject: st: Time invariant variables and panel data



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?


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