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st: Dummy variable p value question


From   Jimmy Verner <jverner@earthlink.net>
To   statalist@hsphsun2.harvard.edu
Subject   st: Dummy variable p value question
Date   Sun, 30 Nov 2008 18:52:45 -0600

Suppose you have an interval dependent variable Y, an interval independent variable B and a nominal variable C. C has four categories, C1, C2, C3 and C4. C is coded by four dummy variables, C1 through C4, with the value 1 when "in play" and the value 0 otherwise.

One may regress Y on B and C1 through C4 by dropping the constant:

Model A:  reg Y B C1 C2 C3 C4, nocon

Alternatively, one may keep the constant but drop a category to avoid falling into the dummy variable trap. The constant replaces the dropped category:

Model B:  reg Y B C1 C2 C3

If what I have said is correct, why are the p values different for C1 through C3 between the two models? And should not the p value for C4 in Model A be the same as for the constant in Model B?

Thx.

Jimmy Verner
Graduate Student
University of Texas at Dallas
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