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st: Fixed-effects models and coefficient for a constant variable


From   "PETITT Barbara" <barbara.petitt@cote-azur.cci.fr>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Fixed-effects models and coefficient for a constant variable
Date   Wed, 11 Oct 2006 08:13:05 +0200

Hello,

I have data for 185 firms over three years (therefore 555 observations).
One of my dependent variables is a dummy variable that is constant over
the three years. I cannot use a random-effects model, as the Hausman
test is rejected. But when I use a fixed-effects model, I cannot
estimate the coefficient for my dummy variable, which is problematic, as
it is one of the most important variables of my model. Is there any fix
to this problem? How is it possible to estimate the coefficient for a
variable that does not vary over time? Thank you.

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