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I wonder if this is the case of multicollinearity however among dummy
variables and time dummies?
I first try to drop one dummy each time and it seems that only
coefficients affected are among dummy variables and time effects. The
rest of estimated coefficients are pretty much unaltered.
Since my interest is on the dummies' estimates, should i separately
run the regression by each dummy and report each coefficient
accordingly? Or, anyone has any suggestions on how to get the best if
not correct estimates of those dummies?.
Your help is much appreciated
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