# Tag Info

Accepted

• 12.5k

### Testing for heteroskedasticity in panel data vs time series?

You can regress residual squares (from RE or FE depending on your estimation) on $X_{it} \hat\beta$ and its square using the clustered standard errors (the ...
• 2,114
Accepted

### Two-way clustering in Stata

Have you seen http://faculty.econ.ucdavis.edu/faculty/dlmiller/statafiles/ ? I see some entries there such as Multi-way clustering with OLS and Code for “Robust inference with Multi-way Clustering”. ...
• 2,114

### Econometrics: Omitting a significant variable

It is important to recognize that there are path dependencies to removing different variables from your model. This is due to the fact that variables can be highly correlated (positively or negatively)...
• 426

### Econometrics: Omitting a significant variable

You should do none of the above. This is an invalid decision-making process. In the best of all possible worlds, create a series of do loops and go through the set of all possible combinations of ...
• 2,006
Accepted

### Coefficient omitted because of collinearity

You have firm fixed effects. Presumably, every firm is in the same country throughout your observation period. Moreover, no country ever changes its development status (I assume). Hence, for a given ...
• 1,325

### How to interpret fixed effect regression R-sq. results for panel data?

In panel regressions you have multiple dimensions and that is why also you have 3 different $R^2$. The within $R^2$ tells you how much variation within your panel variables is on average explained by ...
• 57.2k

### Python vs R (vs Stata): the old battle revisited

I use Stata and Python heavily. I have dabbled in R, but won't pretend I know it well enough to comment on it. Stata and Python complement each other nicely and I am a big fan of both. You can run ...
Accepted

Not sure if this is on-topic, but I'll give a simple solution. It's perhaps not the most efficient, but should be easy enough to follow. Assuming you also want to keep "category" and not ...
• 6,238
Accepted

### Should I include country dummies when I combine datasets of 3 countries?

I would advise you to think deeper about your research question first, as this will guide the decision to use country fixed effects. If you would like to exploit cross country variation, for example ...
Accepted

### Substitute a continuos variable with a categorical one in Linear regression

You can use the continuous variable "Assets" as stand-alone, and use its categorical incarnation for the interaction term. While we may be accustomed to use "automatically generated&...
• 33.9k