st: RE: Can I control for time invariant industry effects and time invariant country effects at the same time?

[Nirup M Menon <nmenon@gmu.edu>]

Chris,
Your question appeared to me like a general regression question, rather than a Stata-specific one, so I am answering accordingly.

If you had (number of countries -1), (number of industries - 1), and (number of time periods -1 ) dummies in your regression model, you are not likely to have collinearity between the dummies.

I would use an intercept term to capture the predicted value of Y for the omitted country, industry, and time period.

If your question was "how to do this in Stata," let us know.

Nirup 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher Parker
Sent: Friday, August 23, 2013 7:43 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: Can I control for time invariant industry effects and time invariant country effects at the same time?

Dear Statalists,

I want to do a regression of the following form:

Ycit= Ac + Bi +Xct

Ycit is my dependent variable, that varies across countries c., industries i, and time t. Ac is a country effect, Bi an industry effect and Xct are my explanatory variables that vary across countries and time. I want to estimate this with a  normal OLS estimator by using dummies.(LSDV approach). To restate, I want include timeinvariant industry and country dummies in an OLS-regression. Will I have any collinearity issues with this approach, and will the coeffecients for the fixed effects be interpretable?

I would be very thankful for your help!

Chris
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