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求助大神们,固定效应中加入行业虚拟变量而且也drop掉了第一个行业,但是为什么回归时显示剩余的行业虚拟变量全部被omitted呢?(数据放在附件了)
我的代码及结果:. xtset company year panel variable:company (unbalanced) time variable:year, 2011 to 2016 delta:1 unit . tab indus_sw,gen(ind_sw) indus_sw | Freq. Percent Cum. ------------+----------------------------------- 采掘 | 18 0.53 0.53 传媒 | 120 3.52 4.05 电气设备 | 306 8.98 13.02 电子 | 311 9.12 22.15 房地产 | 6 0.18 22.32 纺织服装 | 168 4.93 27.25 钢铁 | 24 0.70 27.96 公用事业 | 30 0.88 28.84 国防军工 | 35 1.03 29.86 化工 | 389 11.41 41.27 机械设备 | 388 11.38 52.65 计算机 | 198 5.81 58.46 家用电器 | 137 4.02 62.48 建筑材料 | 132 3.87 66.35 建筑装饰 | 102 2.99 69.35 交通运输 | 18 0.53 69.87 农林牧渔 | 96 2.82 72.69 汽车 | 185 5.43 78.12 轻工制造 | 191 5.60 83.72 商业贸易 | 12 0.35 84.07 食品饮料 | 84 2.46 86.54 通信 | 102 2.99 89.53 休闲服务 | 6 0.18 89.70 医药生物 | 240 7.04 96.74 有色金属 | 111 3.26 100.00 ------------+----------------------------------- Total | 3,409 100.00 . . drop ind_sw1 . xtreg y x1 x2 c.c_x1#c.c_x2 x3 x4 x5 x6 x7 ind_sw*,fe note: ind_sw2 omitted because of collinearity note: ind_sw3 omitted because of collinearity note: ind_sw4 omitted because of collinearity note: ind_sw5 omitted because of collinearity note: ind_sw6 omitted because of collinearity note: ind_sw7 omitted because of collinearity note: ind_sw8 omitted because of collinearity note: ind_sw9 omitted because of collinearity note: ind_sw10 omitted because of collinearity note: ind_sw11 omitted because of collinearity note: ind_sw12 omitted because of collinearity note: ind_sw13 omitted because of collinearity note: ind_sw14 omitted because of collinearity note: ind_sw15 omitted because of collinearity note: ind_sw16 omitted because of collinearity note: ind_sw17 omitted because of collinearity note: ind_sw18 omitted because of collinearity note: ind_sw19 omitted because of collinearity note: ind_sw20 omitted because of collinearity note: ind_sw21 omitted because of collinearity note: ind_sw22 omitted because of collinearity note: ind_sw23 omitted because of collinearity note: ind_sw24 omitted because of collinearity note: ind_sw25 omitted because of collinearity Fixed-effects (within) regression Number of obs = 3409 Group variable: company Number of groups = 570 R-sq:within= 0.0866 Obs per group: min = 5 between = 0.0034 avg = 6.0 overall = 0.0066 max = 6 F(8,2831) = 33.57 corr(u_i, Xb)= -0.3911 Prob > F = 0.0000 ------------------------------------------------------------------------------- y | Coef. Std. Err. t P>|t| [95% Conf. Interval] --------------+---------------------------------------------------------------- x1 | 1.39e-12 5.10e-13 2.72 0.007 3.87e-13 2.39e-12 x2 |-.0004315 .0001572 -2.75 0.006 -.0007397 -.0001233 | c.c_x1#c.c_x2 | 6.36e-13 3.90e-13 1.63 0.103 -1.29e-13 1.40e-12 | x3 |-.0084076 .0005553 -15.14 0.000 -.0094963 -.0073189 x4 | .0110672 .0041595 2.66 0.008 .0029112 .0192233 x5 | .0009815 .000522 1.88 0.060 -.000042 .002005 x6 |-.0066004 .0024292 -2.72 0.007 -.0113636 -.0018373 x7 | .0013011 .0001313 9.91 0.000 .0010436 .0015587 ind_sw2 | 0(omitted) ind_sw3 | 0(omitted) ind_sw4 | 0(omitted) ind_sw5 | 0(omitted) ind_sw6 | 0(omitted) ind_sw7 | 0(omitted) ind_sw8 | 0(omitted) ind_sw9 | 0(omitted) ind_sw10 | 0(omitted) ind_sw11 | 0(omitted) ind_sw12 | 0(omitted) ind_sw13 | 0(omitted) ind_sw14 | 0(omitted) ind_sw15 | 0(omitted) ind_sw16 | 0(omitted) ind_sw17 | 0(omitted) ind_sw18 | 0(omitted) ind_sw19 | 0(omitted) ind_sw20 | 0(omitted) ind_sw21 | 0(omitted) ind_sw22 | 0(omitted) ind_sw23 | 0(omitted) ind_sw24 | 0(omitted) ind_sw25 | 0(omitted) _cons | .1866912 .0106203 17.58 0.000 .165867 .2075155 --------------+---------------------------------------------------------------- sigma_u |.01884253 sigma_e |.00833753 rho |.83626546 (fraction of variance due to u_i) ------------------------------------------------------------------------------- F test that all u_i=0: F(569, 2831) = 24.63 Prob > F = 0.0000 . |
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