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Re: st: RE: 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
Re: st: RE: Can I control for time invariant industry effects and time invariant country effects at the same time?
Date
Tue, 27 Aug 2013 21:59:12 +0200
Dear Nirup
thank you for your answer. Indeed I wanted to know if this is possible
and not how to inplement it in stata. I read in several sources that
you cant regress on time invariant variables when controlling for
country effects, but I did not realize why. I guess what the sources
meant was that you can not regress on variables that are timeinvariant
on a country level.
Best regards
Chris
2013/8/24 Nirup M Menon <[email protected]>:
> Chris,
> Your question appeared to me like a general regression question, rather than a Stata-specific one, so I am answering accordingly.
>
> If you had (number of countries -1), (number of industries - 1), and (number of time periods -1 ) dummies in your regression model, you are not likely to have collinearity between the dummies.
>
> I would use an intercept term to capture the predicted value of Y for the omitted country, industry, and time period.
>
> If your question was "how to do this in Stata," let us know.
>
> Nirup
>
> -----Original Message-----
> From: [email protected] [mailto:[email protected]] On Behalf Of Christopher Parker
> Sent: Friday, August 23, 2013 7:43 PM
> To: [email protected]
> Subject: st: Can I control for time invariant industry effects and time invariant country effects at the same time?
>
> 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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