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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 14:51:18 +0200

Thanks, Saban, but your answer leads me to three of extra-questions. First, I thought that be and fe were slightly different in terms of what they measure (the former, the effect of x when x changes between firm and the latter, the effect of x when x changes within firms). Is that distinction relevant? Second, it is not possible to use robust with be, is it? And third, I am not sure why I need to estimate the Hausman statistic with between estimator. Thanks. Barbara. 

-----Message d'origine-----
De : owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] De la part de snazlioglu@eunev.edu.tr
Envoyé : mercredi 11 octobre 2006 13:24
À : statalist@hsphsun2.harvard.edu
Objet : Re: st: Fixed-effects models and coefficient for a constant variable


Hello,
If you have time invariant variables like dummies in your panel and you will use the fixed effect model, you need estimate with between fixed effect model. You can easly estimate with between effect model in stata xtreg dep.var ind.dep variables, be A secod point, you need to again estiamte Hausman statistics with between estimator.

Regards,
Saban 

11 Oct 2006 10:58 EEST tarihinde yazmışsınız:

> 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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