Barbara,
you might have a look at the Hausman-Taylor IV estimator. See e.g. Wooldridge, 2002, Econometric analysis of x-sectional and panel data, pp. 325-328 or Verbeek, 2004, A guide to modern econometrics, pp. 353-355.
In Stata, type help xthtaylor.
HTH, Guido
> ------------------------------
>
> Date: Wed, 11 Oct 2006 08:13:05 +0200
> From: "PETITT Barbara" <[email protected]>
> Subject: st: Fixed-effects models and coefficient for a constant variable
>
> Hello,
>
> I have data for 185 firms over three years (therefore 555 observations).
> One of my dependent variables is a dummy variable that is constant over
> the three years. I cannot use a random-effects model, as the Hausman
> test is rejected. But when I use a fixed-effects model, I cannot
> estimate the coefficient for my dummy variable, which is problematic, as
> it is one of the most important variables of my model. Is there any fix
> to this problem? How is it possible to estimate the coefficient for a
> variable that does not vary over time? Thank you.
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