* Fixed Effects with the Least Squares Dummy Variable Model. * Chapter 14 - Models for Panel Data * W.H. Greene, Econometric Analysis, Fourth Edition, 2000. SAMPLE 1 90 READ (airline.shd) / NAMES GENR LC=LOG(C) GENR LQ=LOG(Q) GENR LPF=LOG(PF) * Example 14.2 - Fixed Effects Regressions, pp. 565-566. * Create cross-section dummy variables. * Set the number of cross-sections GEN1 NC=6 MATRIX CSDUM=SEAS(90,-NC) DO #=1,NC GENR A#=CSDUM:# ENDO * Firm Effects Model OLS LC LQ LPF LF A1-A6 / NOCONSTANT * Test the significance of the group effects. * Test for equality of the constant terms * F-test at bottom of page 565. TEST TEST A1=A2 TEST A1=A3 TEST A1=A4 TEST A1=A5 TEST A1=A6 END * Create time dummy variables MATRIX TDUM=SEAS(90,15) DO #=1,15 GENR C#=TDUM:# ENDO * Time Effects Model OLS LC LQ LPF LF C1-C15 / NOCONSTANT * F-test, p. 566 (see the line below Table 14.1) TEST TEST C1=C2 TEST C1=C3 TEST C1=C4 TEST C1=C5 TEST C1=C6 TEST C1=C7 TEST C1=C8 TEST C1=C9 TEST C1=C10 TEST C1=C11 TEST C1=C12 TEST C1=C13 TEST C1=C14 TEST C1=C15 END STOP