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Re: st: Omitted Fixed Effects Dummy Variables


From   Sam <sam2stata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Omitted Fixed Effects Dummy Variables
Date   Thu, 27 Sep 2012 10:37:23 -0400

Thanks a lot for your comments. I'll do just that and see how it goes.

Best,


On Thu, Sep 27, 2012 at 3:56 AM, Maarten Buis <maartenlbuis@gmail.com> wrote:
> On Thu, Sep 27, 2012 at 4:03 AM, Sabin Ahmed wrote:
>> I am running a fixed effects regression model with panel data and a
>> LOT of county-year and industry-year fixed effects dummy variables,
>> taking on a value of (0,1) for each country-year or industry-year
>> combination.
>>
>> I have 9 years, 23 industries, and 61 countries. My country-year fixed
>> and industry-year fixed effects dummies for example are as follows:
>>
>>        - year1country1, year1country2,  ... year9country61.
>>
>>        - year1industry1, year1industry_2,  ... year9industry23.
>>
>> I have already dropped all the FE dummies which only have a value of 0
>> for all observations.
>>
>> However, now when I run my regression, some of my dummy variables get
>> omitted in the Stata output. For example when I run:
>
> You need to make sure you leave out reference categories. This gets
> more complicated as you seem to want to add interactions between year
> and country and year and industry. Rather than trying to figure this
> out on your own by making your own dummies, I suggest you use the
> factor variable notation instead:
>
> I assume you have categorical variables year, country and industry,
> than you type
> reg y x1 x2 x3 i.year##( i.country i.industry)
>
> -- Maarten
>
> ---------------------------------
> Maarten L. Buis
> WZB
> Reichpietschufer 50
> 10785 Berlin
> Germany
>
> http://www.maartenbuis.nl
> ---------------------------------
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