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st: RE: re: missing dummy variable
Thanks Kit, but the coefficient is the easy part! It's the confidence
intervals I'm scratching my head over. Is this something that can be
dug out of the e(V) matrix or the like?
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Kit Baum
Sent: Wednesday, October 10, 2007 2:11 PM
To: [email protected]
Subject: st: re: missing dummy variable
John said
Agreed - although I have occasions in the data I work with where the
grand mean itself is of interest, and the variation of the coefficients
from that mean is useful (hence my interest in -xi3- ). The problem is
the missing coefficient for one of the indicators.
No problem. As I said before, the algebra isn't hard--it's just a
pain to do with -lincom-. Recall that if you have a constant term
that estimates the grand mean, the sum of dummy coefficients around
that mean is zero by construction. Therefore the missing coefficient
is minus the sum of those which you estimate. That is easily seen in
your first example using e.foreign; the missing coefficient is just
-1 * the included coefficient. But as I say doing that for two dozen
included coeffs. is painful.
Kit
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
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