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RE : 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   RE : st: Fixed-effects models and coefficient for a constant variable
Date   Wed, 11 Oct 2006 14:44:24 +0200

Thanks, Guido. But what happens if I do not have an endogeneous variable? If I am not mistaken, I need at least one to use xthtaylor, and I cannot just take any variable in the list of my independent variables and make it play the role of the endogeneous variable, can I? Thanks very much. Barbara.

-----Message d'origine-----
De : owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] De la part de Guido Heineck
Envoyé : mercredi 11 octobre 2006 11:18
À : statalist@hsphsun2.harvard.edu
Objet : Re: st: Fixed-effects models and coefficient for a constant variable


Barbara,

you might have a look at the Hausman-Taylor IV estimator. See e.g. Wooldridge, 2002, Econometric analysis of x-sectional and panel data, pp. 325-328 or Verbeek, 2004, A guide to modern econometrics, pp. 353-355. In Stata, type help xthtaylor.

HTH, Guido

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