st: Re: Rsquared within using id & time dummies. xtreg returns collineality error

["Jorge Morgenstern" <jmorgenstern@utdt.edu>]

I am trying tu use a daily sample, with dummy variables both for country 
(30) , for year (10) and for country*year (300, as to take into account 
possible fundamentals that differ across countries and across times).
I think that what I get using your suggestion is only the 40 dummies , for 
years and countries separated.
The areg command with i.year*i.country dummies results in different 
coefficients than the xtreg command with i.year and fixed effects.

Jorge.

> I am not sure what is your purpose, but I suggest to do the following:
> * fixed with time-dummies
> qui tab id, g(dum)
> xtreg vary varx dum*, fe
> R-2 (within) is in e(r2). areg does not compute R-2 (within) but can
> use robust (White) std error correction.
> Rodrigo.
----- Original Message ----- 
From: "Jorge Morgenstern" <jmorgenstern@utdt.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, November 24, 2005 11:07 AM
Subject: st: Rsquared within using id & time dummies. xtreg returns
collineality error

> Hi everyone,
> I have a cross-section time series model, with panel variable for country
> and monthly data.
> I'm trying to run a regresion with country and year dummies, to control
> for idiosyncratic issues.
> I can run the model with "xi: areg vary varx i.id*i.time", but when I try
> to use the "xi: xtreg vary varx i.id*i.time", but it returns an error
> saying that the regressors are collinear with the panel variable.
> I was able to run the model using xtreg only with i*time dummies, but it
> returned different coefficients than those from the areg, then it's not
> performing what I wanted.
> How can I obtain the Rsquared within for my model?
>
> Regards,
> Jorge.
>
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