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(a)gmx.net> To:
> gretl-users(a)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(a)lists.wfu.edu> http://lists.wfu.edu/mailman/listinfo/gretl-users
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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: sveto...@gmx.net
> To: gretl-us...@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
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> Gretl-users mailing list
> gretl-us...@lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
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