Rajesh:
from the helpfile of -xi-:
"i.varname1*i.varname2 Creates dummies for
categorical variables varname1 and varname2:
and all interactions and main effects"
so in your case i.director*i.sex adds:
o a dummy for sex (I actually prefer to call
such a dummy female and code it 1 (true)
for female and 0 (false) for male),
o a dummy for director, and
o the interaction between director and sex.
On top of i.director*i.sex you also separately
added the sex and director dummies.
So you added the two dummies twice and Stata,
being a nice program, corrected that for you.
Hope this helps,
Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
-----Original Message-----
From: [email protected] [mailto:[email protected]]On Behalf Of Rajesh Tharyan
Sent: dinsdag 2 januari 2007 15:20
To: [email protected]
Subject: st: why regress drops dummy variables
Hi all,
I am running this regression where I have the dependent variable
car(returns in percentage) and the independent variables are
mcap(marketcapitalisation), no(number of shares traded) and two dummy
variables (one for the class of director i.e executive or non executive
director and another for their type i.e male or female) and the their
interaction. The results are below
char sex[omit]m
xi: regress car mcap no i.director i.sex i.director*i.sex
car | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
mcap | -.0031127 .000147 -21.17 0.000 -.0034009
-.0028245
no | .0030767 .0001176 26.17 0.000 .0028463
.0033072
_Idirector_2 | -.00387 .0006057 -6.39 0.000 -.0050571
-.0026829
_Isex_1 | .0004936 .0023094 0.21 0.831 -.0040328
.00502
_Idirector_2 | (dropped)
_Isex_1 | (dropped)
_IdirXsex_~1 | .0007891 .0031731 0.25 0.804 -.0054303
.0070085
_cons | .0035362 .0015175 2.33 0.020 .0005619
.0065106
I do not understand why the dummy variables are dropped (are they dropped?).
I had a read through the article on the FAQ Why do estimation commands
sometimes drop variables?. From the article I understand that stata drops
variable if there is a dependency with other IVs. Could this be because
there is a dependency between no and mcap? I do not understand how to
interpret the dependency between the dummies and other IVs.
Is there a solution to this?
Rajesh
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