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st: Regressions with Year Dummy Variables


From   "Venkiteshwaran, Vinod" <Vinod.Venkiteshwaran@tamucc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Regressions with Year Dummy Variables
Date   Tue, 23 Aug 2011 16:39:57 +0000

Thank you.

The variable that is collinear with the year dummies is actually variable that has constant values in each year (it is different in each year but the same value for each of the years) and hence is perfectly linearly predicted by the year dummies. What is the implication when the dropped dummies are at either end of the sample, that is first and last year?

Dr.Vinod Venkiteshwaran
Assistant Professor of Finance
OCNR 352, College of Business
Texas A&M University
Corpus Christi TX 78412
Ph: 361-825-3619
Email: vinod.venkit@tamucc.edu



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