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Re: st: Why does streg allow both state fixed-effects and time invariant state variables?


From   David Jacobs <jacobs.184@sociology.osu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Why does streg allow both state fixed-effects and time invariant state variables?
Date   Fri, 19 Feb 2010 12:25:51 -0500

If I'm reading you right, you've entered 49 state dummies in an equation together with some explanatory variables. If you estimate with OLS, that is precisely how fixed-effects estimation in panel models works (although the standard errors may a bit off).

The point is that doing this does not lead to perfect collinearity as long as the estimator drops one of the state dummies (or the intercept). Doing this will cause the estimation routine to drop any explanatory variables that don't change over time, but the coefficients on explanatory variables that do change next can be estimated.


At 07:07 PM 2/18/2010, you wrote:
Hi Stata users,
I am running a Gompertz survival model with no time varying variables. I am looking at mortality within states and I include indicator variables for each state. In one model, I accidently included both the state indicator variable AND a state level variable. In the OLS world that would be a case for perfect collinearity and the coefficient on the state-level variable would not have been estimated, but in this case it was! My gut tells me that the estimates are wrong/uninterruptable statistical garbage... Am I right ?

Please an help would be great!


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