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Re: st: How to correctly include year effects in panel data


From   Herman Haugland <[email protected]>
To   [email protected]
Subject   Re: st: How to correctly include year effects in panel data
Date   Tue, 6 Aug 2013 23:18:04 +0200

Sorry, I'm new at Statalist.

The paper is this:
http://www.bankofengland.co.uk/publications/Documents/externalmpcpapers/extmpcpaper0031.pdf

Please see from the bottom of page 13 to page 14.


Regarding the output from Stata:

I run:

xtset year id

xtreg depVar L.IndepVar, fe vce(cluster id)

The error I mention, is related to the fact that there are too many
time invariant variables being included, and this is reflected here:

F(2,2)             =         .
Prob > F         =         .

As you can see, the F value is a dot.  Stata help sends me here:  help
j_robustsingular // Fourth subtitle:  "Are you using a svy estimator
or did you specify the vce(cluster clustvar) option?"


In principle I though that the problem was related to the fact that I
have a much longer panel, but after replicating the estimation using
the same amount of variables as Miles et al. I still have the same
problem.  So that's why I'm wondering, how did he include year
effects, and still was able to get the corresponding F-values.


Thanks, and sorry for the lack of detail in my previous e-mail.






Med vennlig hilsen / Best regards,

Herman Haugland

________________

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Tel: +47 930 289 69
E-mail: [email protected]
LinkedIn: /in/hermanhaugland


On Tue, Aug 6, 2013 at 11:06 PM, Nick Cox <[email protected]> wrote:
> Proper references please. The point is explained at length in the FAQ.
>
> Nick
> [email protected]
>
>
> On 6 August 2013 21:59, Herman Haugland <[email protected]> wrote:
>
>> I am trying to replicate the work of Miles et al. "Optimal bank
>> capital", and I'm puzzled about how did he implement year effects for
>> his model.
> *
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