Hello,
for my thesis I'm doing an IV regression of the effect of executive compensation on company innovation, with panel data.
My instrument for compensation is "predfirst" which is an dummy variable that is 1 if that year is predicted to be a first year of a new compensation cycle and 0 if it is not predicted to be a first year of the cycle and the dependent variable innovation is "xrd_w" which are the R&D costs.
I cluster for gvkey, but my supervisor told me I should also absorb year fixed effects and industry fixed effects.
However, this comes with the problem that my constant drops out. Which resulted in this:
. ivreghdfe xrd_w predfirst if hitech==1, cluster(gvkey) absorb(fyear sic)
(MWFE estimator converged in 4 iterations)
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on gvkey
Number of clusters (gvkey) = 343 Number of obs = 17246
F( 1, 342) = 0.27
Prob > F = 0.6059
Total (centered) SS = 5.40071e+10 Centered R2 = 0.0001
Total (uncentered) SS = 5.40071e+10 Uncentered R2 = 0.0001
Residual SS = 5.40021e+10 Root MSE = 1771
------------------------------------------------------------------------------
| Robust
xrd_w | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
predfirst | 87.91036 170.2476 0.52 0.606 -246.9538 422.7745
------------------------------------------------------------------------------
Included instruments: predfirst
Partialled-out: _cons
nb: total SS, model F and R2s are after partialling-out;
any small-sample adjustments include partialled-out
variables in regressor count K
------------------------------------------------------------------------------
Absorbed degrees of freedom:
-----------------------------------------------------+
Absorbed FE | Categories - Redundant = Num. Coefs |
-------------+---------------------------------------|
fyear | 15 0 15 |
sic | 15 1 14 |
-----------------------------------------------------+
I really don't understand what is happening. Anyone who could help me out?
Would really appreciate it.
Related Posts with Problem with a partialled out constant, after absorbing year and industry
pweights strata and PSUHi everybody, I'm doing a cross-sectional analysis with one wave of a Panel study. I weighted my da…
Multiple Imputation by Chained EquationsHello, I have a dataset with all values for some variables (clinical characteristics of the patient)…
cond() functionDEar All, how can i install the cond() function. i can't find it. thanks in advance …
Multilevel Models_repest_PISA2015Good morning, I'm a basic Stata user (version 15) and I want to do some analysis with PISA(2015) dat…
Fama MacBeth with "asreg" in StataHello! I am a complete newbie to stata and I am trying to run a Fama MacBeth regression using the a…
Subscribe to:
Post Comments (Atom)
0 Response to Problem with a partialled out constant, after absorbing year and industry
Post a Comment