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From | Abubakr Saeed <abubakr.sd@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Problems with Fixed Effects Regression |
Date | Mon, 30 May 2011 10:45:32 +0100 |
Dear Statalisters, I'm performing a panel data analysis (400 firms, 12 years, and 6 industries). I got two questions regarding my analysis: My LM test supports for random individual effects. After estimating the Hausman test for deciding between fixed or random effect regression, result was in favor of the fixed effect regression. I am using Industry dummies which are constant over time. While running FE my all industry dummies were dropped because of collinearity. What I do? Should I just neglect industry dummies or choose random effect? My second question is my sample’s total size is 400, which comprised of almost 385 listed firms and 15 unlisted firms. Do I need to use a dummy for Listed as well, because in that case, I have tried it and FE dropped it because of collinearity. And do I need to perform the Heckman sample selection bias, for such sample? I really appreciate any help. Saeed, Abubakr * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/