On Oct 17, 2005, at 10:13 AM, Andrea Molinari wrote:
Steve,
Thanks for your suggestion. I have included country dummies by hand
into my
(linear) cross-section model. The problem I've got is that some of
those
country dummies get dropped, and I cannot have control over the
dummies that
get dropped.
If the dummies are time-invariant, then fixed effects will eliminate
them. I don't know of a way, offhand, to recover the coefficients of
time-invariant regressors, either. The gain from FE is that it
eliminates time-invariant unobserved heterogeneity, but the problem
is that it also eliminates all time-invariant covariates. If you're
wanting to eliminate heterogeneity, while still estimating the effect
of country dummies, I think you may need to look at something other
than linear fixed effects.
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
