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st: Regression with Year Dummy Variables

From   "Venkiteshwaran, Vinod" <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: Regression with Year Dummy Variables
Date   Tue, 23 Aug 2011 14:53:55 +0000

I have a question about interpreting coefficients on year dummy variables. I have a panel with 20 years and have dropped one dummy, the first year, and Stata drops an additional year, the last year, because I have a variable that is collinear with the year dummies. How should the coefficients on the remaining year dummies be interpreted? Does it matter if the years that are dropped are the first two or the last two or on either end of the sample?

Dr.Vinod Venkiteshwaran
Assistant Professor of Finance
OCNR 352, College of Business
Texas A&M University
Corpus Christi TX 78412
Ph: 361-825-3619
Email: [email protected]

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