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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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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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