st: An econometric question

["Roy,Suryadipta" <suryadipta.roy@lawrence.edu>]

Hi,

I have some questions on the interpretation of my results. 
I have data on (say) 100 countries over a period of 15 
years, i.e. a total of 1500 observations. Suppose, I am 
running a model of the form:
y= a0 + a1x1 + a2x2 + a3x3, where y, x1 and x2 are the 
mean values of the original variables (say, z, z1 and z2) 
over 15 years for all countries and x3 is a time-constant 
variable (say, a region dummy).

Now, when I am running the above regression in the 
original dataset (with 1500 observations), I am getting 
significant results for x1, x2 and x3. Of course, all the 
variables remain unchanged for any country over these 15 
years.

On the other hand, if I "collapse" the dataset and run the 
regression with 100 observations (for 100 countries), none 
of the variables remain significant and the r-square goes 
down as well. The mean values for y, x1 and x2 (and x3) 
are however, the same in both the regressions.

I would greatly appreciate some help if understanding as 
to why I am not getting the same results as in the first 
regression.

Thanks!
Suryadipta.
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