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st: residuals when no variation in Y


From   Raymond Lim <rl2240@columbia.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: residuals when no variation in Y
Date   Sun, 15 Jan 2012 21:14:58 -0500

I have 2 panels with 4 time periods. For panel A, Y=0 in every period.
For panel B, Y has variation. I regress Y on a linear time trend.

If I regress with just panel A, I get no results as expected. If I do
a fixed effect regression with both panels, then calculate the
residuals, panel A's residuals are non-zero. Where are these residuals
coming from if there is no within-variation in the Y variable?

CODE TO ILLUSTRATE:
clear all
input panel y time
1 0 2001
1 0 2002
1 0 2003
1 0 2004
2 4 2001
2 8 2002
2 7 2003
2 3 2004
end

reg y time if panel==1
areg y time, a(panel)
predict resid, resid
list, sepby(panel)



OUTPUT IN THE END
. list, sepby(panel)

     +--------------------------+
     | panel   y   time   resid |
     |--------------------------|
  1. |     1   0   2001     -.3 |
  2. |     1   0   2002     -.1 |
  3. |     1   0   2003      .1 |
  4. |     1   0   2004      .3 |
     |--------------------------|
  5. |     2   4   2001    -1.8 |
  6. |     2   8   2002     2.4 |
  7. |     2   7   2003     1.6 |
  8. |     2   3   2004    -2.2 |
     +--------------------------+
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