[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.


When Thomas Edison invented the light bulb he tried over 2000
experiments before he got it to work. A young reporter asked
him how it felt to have failed so many times. He said
"I never failed once. I invented the light bulb.
It just happened to be a 2000-step process."

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Received on Mon Sep 05 23:28:08 2005

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