On Jun 16, 2004, at 2:33 AM, Dan wrote:
[Most requests here at NBER for Stata-SE are from users with fixed
effect
models who expect to add a dummy variable for each respondent in a
panel.
They are usually easily convinced that this is not necessary. However
sometimes users want to interact a time trend with the fixed effect. Is
there a way to estimate such a model without adding a variable for each
respondent?]
Literally, no, but if you consider the basic notion of linear
detrending, why not detrend the dependent variable before estimation on
a by-panel basis, rather than estimating N trend coefficients within
the regression? For a single time series, partialling out the time
trend and then regressing detrended y on X will get you the same dy/dX
as the regression of y on (X,t)...
Kit
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