[R] Dummy variables model

From: Tobias Muhlhofer <t.muhlhofer_at_lse.ac.uk>
Date: Mon 05 Sep 2005 - 23:03:33 EST


Hi, all!

Anyone know an easy way to specify the following model.

Panel dataset, with stock through time, by firm.

I want to run a model of y on a bunch of explanatory variables, and one dummy for each firm, which is 1 for observations that come from firm i, and 0 everywhere else. I have over 200 firms (and a factor variable that   contains a firm identifier).

Any easy way of going about this, without having to define all these dummies? I checked lme() with random = ~ 1|firm, but the problem is that these are random effects, i.e. that there are firm-by-firm disturbance terms and overall disturbance terms, whereas I want just overall disturbance terms. This is generally called a "fixed effects" model, although it seems like the term "fixed effects" is being used somewhat differently in the context of the nlme package.

Toby

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Received on Mon Sep 05 23:28:08 2005

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