Hi mike,
Thanks.. I realize my mistake now.. now very obvious.. as the result did
show the coefs and stderrs for the vars and then dropped it..
Mike wrote:
It might be possible to accomplish the
inclusion of *just* the interaction terms with the following syntax:
xi: regress car mcap no i.director|sex
Rajesh:
I tried using the command above and stata returns a type mismatch error.
Thanks
rajesh
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Michael S. Hanson
Sent: 02 January 2007 14:47
To: [email protected]
Subject: Re: st: why regress drops dummy variables
On Jan 2, 2007, at 9:20 AM, Rajesh Tharyan wrote:
> char sex[omit]m
> xi: regress car mcap no i.director i.sex i.director*i.sex
>
>
> car | Coef. Std. Err. t P>|t| [95% Conf.
> Interval]
> -------------
> +--------------------------------------------------------------
> --
> mcap | -.0031127 .000147 -21.17 0.000 -.0034009
> -.0028245
> no | .0030767 .0001176 26.17 0.000 .0028463
> .0033072
> _Idirector_2 | -.00387 .0006057 -6.39 0.000 -.0050571
> -.0026829
> _Isex_1 | .0004936 .0023094 0.21 0.831 -.0040328
> .00502
> _Idirector_2 | (dropped)
> _Isex_1 | (dropped)
> _IdirXsex_~1 | .0007891 .0031731 0.25 0.804 -.0054303
> .0070085
> _cons | .0035362 .0015175 2.33 0.020 .0005619
> .0065106
>
> I do not understand why the dummy variables are dropped (are they
> dropped?).
Yes, they are surely dropped as Stata says they are dropped!
> Is there a solution to this?
Yes, use the command:
xi: regress car mcap no i.director*i.sex
As you will note from -help xi-, the above interaction term "Creates
dummies for categorical variables ... and all interactions and main
effects." That is, by putting "i.director*i.sex" in your -xi: regress-
command, Stata automatically expanded that expression to include
"i.director" and "i.sex" individually (the "main effects") as well as
the interaction term you had intended. Thus, because you already
separately included "i.director" and "i.sex" as regressors, they
appeared in the regression twice and Stata had to drop one of their
occurrences each. This is clearly indicated in your -regress- output,
quoted above.
Why does Stata do this? I suspect it is to protect less
sophisticated
users from including only interaction terms without the main terms...
unless they really know what they are doing.[*] As your example
demonstrates, it is relatively uncommon for someone to want to do that.
Hope this helps.
-- Mike
[*] As far as I can tell, it is not possible to include only the
interaction term and not the main terms for two categorical
(dichotomous) variables using the -regress...- command with the -xi:-
prefix. Rather, one must first create the interaction terms with -xi-
as a command, then include only the interaction term(s) in the
specification of -regress-. It might be possible to accomplish the
inclusion of *just* the interaction terms with the following syntax:
xi: regress car mcap no i.director|sex
but as I do not have access to a database on which to test such a
specification, that remains a conjecture (and exercise for the reader).
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/