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st: multiple regression with dummy variables


From   Alexander <alex.lee.kotra@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: multiple regression with dummy variables
Date   Wed, 15 May 2013 21:19:07 +0400

Dear Statalist readers,

I am conducting a multiple OLS regression of some profitability
measure of several companies on 2 sets of dummy variables.

The first set consist of 3 variables which take 0 or 1 values
depending on the size of a company: small, mid, large
The first set consist of 3 variables which take 0 or 1 values
depending on some other characteristic: small2, mid2, large2

Each set encompasses all of my dataset (i.e. all of the companies are
either small, mid or large, and all are either small2, mid2, large2)

I understand that if I use all 3 variables of a set in the regression,
one of them is omitted. In this case I could either get the omitted
variable's coefficient out of the constant term or suppress the
constant term.

However, my purpose is to find out all the regressor's (out from both
sets) coefficients in a single regression, that is:

-regress PROFIT small mid large small2 mid2 large2

As a result STATA omits two variables (small and small2), therefore I
do not understand how to make sense of the results, cannot find the
coefficients for the omitted variables and ultimately cannot make any
inference with regards to connection between size, other
characteristic and profitability measure.

I would appreciate any help.

Thank you.
Alex
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