st: Dummy variable p value question

[Jimmy Verner <jverner@earthlink.net>]

Suppose you have an interval dependent variable Y, an interval  
independent variable B and a nominal variable C.  C has four  
categories, C1, C2, C3 and C4.  C is coded by four dummy variables, C1  
through C4, with the value 1 when "in play" and the value 0 otherwise.

One may regress Y on B and C1 through C4 by dropping the constant:

Model A:  reg Y B C1 C2 C3 C4, nocon

Alternatively, one may keep the constant but drop a category to avoid  
falling into the dummy variable trap.  The constant replaces the  
dropped category:

Model B:  reg Y B C1 C2 C3

If what I have said is correct, why are the p values different for C1  
through C3 between the two models?  And should not the p value for C4  
in Model A be the same as for the constant in Model B?

Thx.

Jimmy Verner
Graduate Student
University of Texas at Dallas
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/