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
