[Gretl-users] help

[Dennis van Amelsfort]

That's just the problem, neither the time dummies nor the time variable (indicating 2004, 2005 etc..) are significant..
> Date: Thu, 29 Jan 2009 17:54:27 +0100> From: svetosch at gmx.net> To: gretl-users at lists.wfu.edu> Subject: Re: [Gretl-users] help> > Am 29.01.2009 17:32, Dennis van Amelsfort schrieb:> > > > I hope someone can help me..> > > > When I run a fixed and random effects model for my data, I obtain very> > differing results my variable of interest when using time dummies or a> > continuous year variable.. When I use a year variable my variable of> > interest (AS5) is only just insignificant (p=0,15) nut when I use time> > dummies it is totally insignificant (p=0,73). The hausman test is also> > inconclusive when I use the year variable, but points towards fixed> > effects when using time dummies.> > Time dummies of course are more flexible than a single time trend (if> that's what you mean by 'continuous year variable'). So provided the> time dummies themselves are significant, you seem to be looking at an> omitted variable bias when you don't include the dummies.> > > > > When I insert an interaction term between AS5 and MW (another variable> > already in the model), both the interaction term and AS5 become> > significant when using the year variable, but only the interaction term> > becomes significant when using time dummies.> > Same thing here, the time dummies soak up a lot of variation that> otherwise are (probably spuriously?) attributed to other variables.> > without having looked at your results (sorry, no time), IMHO keep the> time dummies and throw out everything else that isn't significant.> > (that's of course a quick-and-dirty advice over the net, you probably> should go see a local doctor -- ahem, econometrician)> > good luck,> sven> _______________________________________________> Gretl-users mailing list> Gretl-users at lists.wfu.edu> http://lists.wfu.edu/mailman/listinfo/gretl-users
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