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st: RE: Dropping two time dummies


From   Riccardo Valboni <rvalboni@rsm.nl>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Dropping two time dummies
Date   Sun, 23 Feb 2014 10:23:40 +0000

If they are equal within the same firm for the entire time length you're observing, I think the fixed effects estimator drops them because it takes the difference from the firm-average of the variable along the observed time. But, if your dummy is identical within same firm for all months, the average equals the single occurrence so the estimation takes the variables completely away. If you want to keep them as they are you might want to run a by group regression.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nima Darbari
Sent: domenica 23 febbraio 2014 11:04
To: statalist@hsphsun2.harvard.edu
Subject: st: Dropping two time dummies

I am estimating a panel regression (371 firms*215 months) with firm fixed effects using xtreg, the thing is when I add time dummies to account for time fixed effects, two of the time dummies are omitted due to collinearity, shouldn't it be only one?
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