[Gretl-users] Limited Number of Independent Variables - Random Effects - Panel Data

Allin Cottrell cottrell at wfu.edu
Sun Jun 14 11:09:21 EDT 2009


On Wed, 13 May 2009, Nicolai C. Striewe wrote:

> I have to add to my recent request that the independent
> variables that I want to add to the existing 54 independent
> variables are unit-invariant (only time varying) macroeconomic
> variables. Only if they are unit-invariant one of the
> time-dummies is omitted. It actually does not omit the time
> dummy when I add a time-varying and unit-varying variable. My
> question is why is a time dimension/time dummy omitted as one
> unit-invariant time-varying variable is added?

I suggest the same answer as before: exact collinearity.  If you
believe that is not the case, please post an example and we'll
take a look.  (You could test this hypothesis by running a
regression of the "newly added" variable on all of the original
regressors, including the time dummies.)

Allin Cottrell




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