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From | Nirup M Menon <nmenon@gmu.edu> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | st: RE: Can I control for time invariant industry effects and time invariant country effects at the same time? |
Date | Sat, 24 Aug 2013 00:35:20 +0000 |
Chris, Your question appeared to me like a general regression question, rather than a Stata-specific one, so I am answering accordingly. If you had (number of countries -1), (number of industries - 1), and (number of time periods -1 ) dummies in your regression model, you are not likely to have collinearity between the dummies. I would use an intercept term to capture the predicted value of Y for the omitted country, industry, and time period. If your question was "how to do this in Stata," let us know. Nirup -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher Parker Sent: Friday, August 23, 2013 7:43 PM To: statalist@hsphsun2.harvard.edu Subject: st: Can I control for time invariant industry effects and time invariant country effects at the same time? Dear Statalists, I want to do a regression of the following form: Ycit= Ac + Bi +Xct Ycit is my dependent variable, that varies across countries c., industries i, and time t. Ac is a country effect, Bi an industry effect and Xct are my explanatory variables that vary across countries and time. I want to estimate this with a normal OLS estimator by using dummies.(LSDV approach). To restate, I want include timeinvariant industry and country dummies in an OLS-regression. Will I have any collinearity issues with this approach, and will the coeffecients for the fixed effects be interpretable? I would be very thankful for your help! Chris * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/