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st: control multicollinearity in the panel data


From   May Ster <mayfrank@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: control multicollinearity in the panel data
Date   Mon, 11 Jul 2011 18:34:48 +0100

Dear Statalist,

I've run regressions on the panel model: the 2-way fixed effects model which
Panel ID = 90, Time = 38 years

Initially, the regression is of this form;
Ln(X) = constant + time effects + fixed effects+ B1Ln(Y1) + B2Ln(Y2)
+…+ B7Y(7)+B8( Dummy1)
              +B9(Dummy2)+ B10(Dummy3)+ error terms

All parameter estimated are highly significant at 99% . FYI, the
estimates on dummy variables are
B8 = 11.508154***
B9 = 11.997193***
B10 = 9.5665013***

However, when I take a look at the time effects estimated it seems
strange starting at the time ; T23 until T38 .  Briefly, the time
effects estimated are  ;


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