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Re: Re: st: Fixed effects model and dummy variable


From   [email protected]
To   [email protected]
Subject   Re: Re: st: Fixed effects model and dummy variable
Date   Mon, 28 Jan 2008 18:17:00 +0100

Some more ideas:
-xtfevd- from http://www.polsci.org/pluemper estimates a three stage panel fixed effects vector decompostion model that allows for the inclusion of time-invariant variables and efficiently estimates almost time-invariant explanatory variables within a panel fixed effects framework
-xtpmg- from ssc aids in the estimation of "large T, large N" panel-data models where nonstationarity may be a concern. In addition to the traditional dynamic fixed effects models, it allows for the mean group (which relies on estimating N time series regressions and averaging the coefficients, see Pesaran and Smith 1995) and the pooled mean-group estimators (which relies on a combination of pooling and averaging of coefficients, see Pesaran et al. 1997, 1999). 

Nicola

Pesaran and Smith (Estimating long-run  relationships from dynamic heterogeneous panels, Journal of Econometrics 68:  79-113)
Pesaran, Shin, and Smith (Estimating long-run relationships in dynamic heterogeneous panels, DAE Working  Papers Amalgamated Series 9721; Pooled mean group estimation of dynamic  heterogeneous panels, Journal of the American Statistical Association 94: 621-634)


At 02.33 20/01/2008 -0500, you wrote:
>Date: Sat, 19 Jan 2008 23:03:16 +0000 (GMT)
>From: Maarten buis <[email protected]>
>Subject: Re: st: Fixed effects model and dummy variable
>
>- --- Jong Mook Choe <[email protected]> wrote:
>> I'm running a panel regression with 51 states from 1995 to 2000. 
>> I need to include a dummy variable set equal to one if a state meets
>> a qualification. Value of dummy variable holds for the entire period.
>> So it's either 1 for the entire period or 0 for the entire period. 
>> 
>> I ran fixed effects regression (xtreg, fe) but stata keeps dropping
>> the dummy variable. What can I do now?
>
>Nothing, in a fixed effect model all characteristics of states that do
>not change are already controlled for. As consequence you can not enter
>stata level variables that do not change over time. 

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