RE: st: RE: How to perform a Wald test between the fixed effect...

[Frank Barbera <fbarbera@bond.edu.au>]

Hi John, you are correct, I wish to test the whether the time invariant predictor was significant, but not via the Mundlak or RE approach. 

I can't show you what I mean with all the data in 'nlswork' since there are too many idcodes, but if we can focus on the first 9 individuals (up to idcode 10, as idcode 8 is missing), I'll try to explain. Please bear with my clumsy commands (this is all new to me).  

First, I create a 'race_1' dummy equating to 1 if the individual is of the first race and 0 if they belong to the second...

gen race_1=0
replace race_1 = 1 if race < 2

Then I categorise the idcodes into race_1 or race_2...

generate id_race1 = idcode*race_1
generate id_race2 = idcode*(1-race_1)

After that, I run the following regression, which creates the individual dummies and estimates each individuals intercept coefficient (wherein race has been absorbed)...

xi: regress ln_w age i.id_race1 i.id_race2, noconstant