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st: re: missing dummy variable


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: missing dummy variable
Date   Wed, 10 Oct 2007 17:11:29 -0400

John said

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.

No problem. As I said before, the algebra isn't hard--it's just a pain to do with -lincom-. Recall that if you have a constant term that estimates the grand mean, the sum of dummy coefficients around that mean is zero by construction. Therefore the missing coefficient is minus the sum of those which you estimate. That is easily seen in your first example using e.foreign; the missing coefficient is just -1 * the included coefficient. But as I say doing that for two dozen included coeffs. is painful.

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

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