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From |
"Wallace, John" <John_Wallace@affymetrix.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: re: missing dummy variable |

Date |
Wed, 10 Oct 2007 13:30:14 -0700 |

Agreed - although I have occasions in the data I work with where the grand mean itself is of interest, and the variation of the coefficients from that mean is useful (hence my interest in -xi3- ). The problem is the missing coefficient for one of the indicators. -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kit Baum Sent: Wednesday, October 10, 2007 11:51 AM To: statalist@hsphsun2.harvard.edu Subject: st: re: missing dummy variable John said reg mpg foreign domestic, noconst hascons xi3: regress mpg e.foreign xi3: regress mpg e.make *------------------ end example --------------- Its clear that the information in the first two regressions is equivalent, but the display would be better still if it was a combination of both! If the _cons from the second regression was combined with the explicit listing of both indicators in the first. When the list of indicator variables gets long (as in the third regression) , and especially when there are interactions, the task of interpreting the dropped variables (and especially significance in the t-test relative to the grand mean) becomes non-trivial (to me at least). For the regression on make, xi: reg mpg i.make will produce a constant term which _is_ the coefficient on the omitted make. Note that xi3 DOES NOT do that! Its constant term is the grand mean, and it is a pain in the rear to compute the missing coefficient from that (it is the constant minus the sum of all the others, but - lincom- doesn't do wildcards). I don't think -xi3- is at all helpful in this regard. Kit Kit Baum, Boston College Economics and DIW Berlin http://ideas.repec.org/e/pba1.html An Introduction to Modern Econometrics Using Stata: http://www.stata-press.com/books/imeus.html * * 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/ * * 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/

**References**:**st: re: missing dummy variable***From:*Kit Baum <baum@bc.edu>

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