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st: dropped interaction terms from FE model


From   P K <statistics_2009@yahoo.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: dropped interaction terms from FE model
Date   Wed, 17 Jun 2009 21:44:07 +0000 (GMT)

Hi,

I am estimating  the following FE panel model:

xtreg AverChangeROEadj2 strategy_01 duration_change_t1 ceo_change_t1 ceo_int_t1 tmt_turnover_t1 sizelnempl age prior_slack_avail2 ROEadj_1 external_change_dummy lgcount_strategy performance_crisis_ROEadj strategy_01_change_t1 strategy_ceoint ceoint_change change_ceoint_strategy, fe

However, the interaction between strategy_01 (a dummy variable) and change duration (continuous variable) gets dropped from the model (strategy_01_change_t1).

Also, the interaction between strategy_01 (a dummy variable), change duration (continuous variable) and ceo change (a dummy variable) gets dropped from the model. (change_ceoint_strategy)

Any hints why this could be the case and what to do about it (there is no multicollinearity or missing value problem)? 
 Thanks, Pat


Here's the STATA output:


Fixed-effects (within) regression Number of obs      =       430 
Group variable: number Number of groups   =        60 
 
 
 
 
R-sq:  within  = 0.0998 Obs per group: min =         1 
between = 0.0009 avg =       7.2 
 
overall = 0.0013 max =         9 
 
 
 
 
 

 F(14,356)          =      2.82 
 
corr(u_i, Xb)  = -0.9883 Prob > F           =    0.0005 
 
 
 
 
 
 
 
 
AverCh~Eadj2       Coef.   Std. Err. t    P>t     [95% Conf. Interval] 
 
 
 
 
strategy_01    2.161211   2.012137 1.07   0.284    -1.795958     6.11838 
duration_c~1    -.475537    .877321 -0.54   0.588     -2.20092    1.249846 
ceo_cha~e_t1    .7214819   3.349671 0.22   0.830    -5.866149    7.309113 
ceo_int_t1   -2.241493   4.682335 -0.48   0.632    -11.45001    6.967021 
tmt_turno~t1   -2.060425   1.605712 -1.28   0.200    -5.218299    1.097448 
sizelnempl   -4.503579   1.727811 -2.61   0.010     -7.90158   -1.105579 
age    -.464394   .4892887 -0.95   0.343    -1.426654    .4978657 
prior_slac~2    .5187986   .3436538 1.51   0.132    -.1570482    1.194645 
ROEadj_1   -.0276773   .0467122 -0.59   0.554    -.1195439    .0641892 
external_c~y    1.628413   1.329209 1.23   0.221    -.9856769    4.242503 
lgcount_st~y    1.426753   2.201901 0.65   0.517    -2.903616    5.757123 
perform~Eadj    5.296512   1.790716 2.96   0.003       1.7748    8.818223 
strateg~e_t1   (dropped) 
 
 
strategy_~nt    15.62659   5.616043 2.78   0.006     4.581794    26.67138 
ceoint_cha~e   -6.139526    1.89593 -3.24   0.001    -9.868157   -2.410895 
c~int_stra~y   (dropped) 
 
 
_cons    69.46962   40.03339 1.74   0.084    -9.262056    148.2013 
 
 
 
 
sigma_u   33.386383 
 
 
sigma_e   12.392948 
 
 
rho   .87889857   (fraction of variance due to u_i) 
 
 
 
 
 
F test that all u_i=0:     F(59, 356) =     0.86             Prob > F = .7540 


      

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