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st: dummy variables in xtreg

Marco Buur
Dear All

I am running xtreg, re model with dummy (year) variables

xtreg a b c y1-y8, re  cluster(Country)

2 dummy variables y2 and y8 are dropped due to collinearity. Is there
a way to fix this?

Can I force Stata  to include all  dummy variables  y1-y8 in xtreg, re?


Thanks
Marco
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Re: st: dummy variables in xtreg

Clive Nicholas
Marco Buur wrote:

> I am running xtreg, re model with dummy (year) variables
>
> xtreg a b c y1-y8, re  cluster(Country)
>
> 2 dummy variables y2 and y8 are dropped due to collinearity. Is there
> a way to fix this?

An alternative would be to demean your explanatory variables by year
and run -xtreg- with those variables, but without the year dummies.
However, this runs the large risk of purging some of the variation
from your data which the model would seek to explain.

> Can I force Stata  to include all  dummy variables  y1-y8 in xtreg, re?

I don't believe so, certainly not in version 9.2, which is the one I
have. See -help xtreg- in your version to see what it says.

--
Clive Nicholas

[Please DO NOT mail me personally here, but at
<[hidden email]>. Please respond to contributions I make in
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"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.

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