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Today's Topics:

  1. Fixed effects model (Liliya Netskar)
  2. Re: Fixed effects model (Sven Schreiber)


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Message: 1
Date: Mon, 25 May 2015 11:47:32 +0000 (UTC)
From: Liliya Netskar <liliya_netskar@yahoo.com>
To: "gretl-users@lists.wfu.edu" <gretl-users@lists.wfu.edu>
Subject: [Gretl-users] Fixed effects model
Message-ID:
    <1847116116.2539701.1432554452728.JavaMail.yahoo@mail.yahoo.com>
Content-Type: text/plain; charset="utf-8"

Hi guys!
I have a problem with Gretl panel fixed effects model. I created dummy variables to control for fixed effects (it was a proper way), but Gretl leaves these dummies out. To represent 4 categoeries I used 3 dummies to avoid perfect multicolinearity. In the end I habe a biased result because of the omitted dummies. Is there a solution for the problem?
Thanks a lot in advance!
Liliya

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Message: 2
Date: Mon, 25 May 2015 14:17:43 +0200
From: Sven Schreiber <svetosch@gmx.net>
To: gretl-users@lists.wfu.edu
Subject: Re: [Gretl-users] Fixed effects model
Message-ID: <556312E7.7080101@gmx.net>
Content-Type: text/plain; charset=windows-1252; format=flowed

Am 25.05.2015 um 13:47 schrieb Liliya Netskar:
> Hi guys!
>
> I have a problem with Gretl panel fixed effects model. I created dummy
> variables to control for fixed effects (it was a proper way), but Gretl
> leaves these dummies out. To represent 4 categoeries I used 3 dummies to
> avoid perfect multicolinearity. In the end I habe a biased result
> because of the omitted dummies. Is there a solution for the problem?
>

Gretl typically leaves out regressors (including dummies) for a reason
-- usually collinearity. In the case of panel fixed effects one
immediately thinks of time-invariant regressors as a reason, but this is
of course just speculation without knowing any details. Please show us
the estimation output.

cheers,
sven


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