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st: Can I control for time invariant industry effects and time invariant country effects at the same time?


From   Christopher Parker <[email protected]>
To   [email protected]
Subject   st: Can I control for time invariant industry effects and time invariant country effects at the same time?
Date   Sat, 24 Aug 2013 01:42:55 +0200

Dear Statalists,

I want to do a regression of the following form:

Ycit= Ac + Bi +Xct

Ycit is my dependent variable, that varies across countries c.,
industries i, and time t. Ac is a country effect, Bi an industry
effect and Xct are my explanatory variables that vary across countries
and time. I want to estimate this with a  normal OLS estimator by
using dummies.(LSDV approach). To restate, I want include
timeinvariant industry and country dummies in an OLS-regression. Will
I have any collinearity issues with this approach, and will the
coeffecients for the fixed effects be interpretable?

I would be very thankful for your help!

Chris
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