Hello,
I don't want to advertise myself here but there is an article supposed
to be in a special inssue in Political Analysis (on panel data) dealing
with exactly this problem.
We propose a procedure called fevd (fixed effects vector decomposition)
that produces coefficients for time invariant variables in a fixed
effects framework.
There is also a stata ado called xtfevd.ado (a beta version) and
help-file (xtfevd.hlp) to estimate the proposed procedure in stata.
the paper and the ado can be downloaded from:
http://www.polsci.org/pluemper/xtfevd.htm
there is of course the Hausman-Taylor method and its variants but this
is much less efficient as shown in the paper.
Vera
PETITT Barbara schrieb:
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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--
Vera E. Troeger
Lecturer in Political Science
Government Department
University of Essex
Wivenhoe Park
Colchester CO4 3SQ
UK
phone: +44 (0)1206 872509
email: vtroe@essex.ac.uk
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/