Wald test for joint significance of time dummies, for unbalanced panel data

[Guest]

Dear Statalist

Truly sorry that I have recently posted a lot in the forum. My question now is, when I tried to do joint significance of time dummies, the result is shown below.

xi: xtreg  govex_gdp immi i.year, fe
i.year            _Iyear_1981-2013    (naturally coded; _Iyear_1981 omitted)
note: _Iyear_1982 omitted because of collinearity
note: _Iyear_1989 omitted because of collinearity
note: _Iyear_1992 omitted because of collinearity
note: _Iyear_1993 omitted because of collinearity

Fixed-effects (within) regression               Number of obs      =       101
Group variable: country                         Number of groups   =        32

R-sq:  within  = 0.3157                         Obs per group: min =         1
       between = 0.0041                                        avg =       3.2
       overall = 0.0489                                        max =         8

                                                F(20,49)           =      1.13
corr(u_i, Xb)  = -0.0705                        Prob > F           =    0.3524

------------------------------------------------------------------------------
   govex_gdp |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        immi |   .6015031     1.2832     0.47   0.641    -1.977184     3.18019
 _Iyear_1982 |          0  (omitted)
 _Iyear_1984 |  -1.951313   2.029731    -0.96   0.341     -6.03021    2.127584
 _Iyear_1989 |          0  (omitted)
 _Iyear_1990 |  -1.535975   1.131624    -1.36   0.181    -3.810059    .7381089
 _Iyear_1991 |  -.0217066   2.000287    -0.01   0.991    -4.041434    3.998021
 _Iyear_1992 |          0  (omitted)
 _Iyear_1993 |          0  (omitted)
 _Iyear_1995 |  -1.804299   1.481579    -1.22   0.229    -4.781644    1.173045
 _Iyear_1996 |  -1.192454   1.243317    -0.96   0.342    -3.690993    1.306086
 _Iyear_1997 |   1.113924   1.663333     0.67   0.506    -2.228668    4.456516
 _Iyear_1998 |  -1.533251   1.336631    -1.15   0.257    -4.219312     1.15281
 _Iyear_1999 |  -1.431873   1.078824    -1.33   0.191    -3.599851    .7361045
 _Iyear_2000 |  -2.380066   1.428823    -1.67   0.102    -5.251394    .4912613
 _Iyear_2001 |  -1.105332    1.77627    -0.62   0.537     -4.67488    2.464215
 _Iyear_2002 |  -.0493895   1.693747    -0.03   0.977    -3.453101    3.354322
 _Iyear_2005 |  -1.592668   1.250669    -1.27   0.209    -4.105981    .9206459
 _Iyear_2006 |   -1.18629   1.531451    -0.77   0.442    -4.263856    1.891275
 _Iyear_2007 |   .1803899   1.561031     0.12   0.908     -2.95662    3.317399
 _Iyear_2008 |  -.6927531   1.104897    -0.63   0.534    -2.913128    1.527621
 _Iyear_2009 |   .1910633   1.292009     0.15   0.883    -2.405326    2.787452
 _Iyear_2011 |   1.075233   1.422641     0.76   0.453    -1.783672    3.934138
 _Iyear_2012 |  -.5803433    1.62212    -0.36   0.722    -3.840115    2.679428
 _Iyear_2013 |  -2.361645   2.414944    -0.98   0.333    -7.214657    2.491367
       _cons |   20.20889   .9749932    20.73   0.000     18.24957    22.16821
-------------+----------------------------------------------------------------
     sigma_u |  2.7682049
     sigma_e |  1.5182256
         rho |  .76875837   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(31, 49) =     7.52              Prob > F = 0.0000

. test _Iyear_1982 _Iyear_1984 _Iyear_1989 _Iyear_1990 _Iyear_1991 _Iyear_1992 _Iyear_1993 _Iyear_1
> 995 _Iyear_1996 _Iyear_1997 _Iyear_1998 _Iyear_1999 _Iyear_2000 _Iyear_2001 _Iyear_2002 _Iyear_2005
> _Iyear_2006 _Iyear_2007 _Iyear_2008 _Iyear_2009 _Iyear_2011 _Iyear_2012 _Iyear_2013
_Iyear_1982 not found
r(111);

test _Iyear_1984 _Iyear_1989 _Iyear_1990 _Iyear_1991 _Iyear_1992 _Iyear_1993 _Iyear_1995 _Iyear_1
> 996 _Iyear_1997 _Iyear_1998 _Iyear_1999 _Iyear_2000 _Iyear_2001 _Iyear_2002 _Iyear_2005 _lyear2006
> _Iyear_2007 _Iyear_2008 _Iyear_2009 _Iyear_2011 _Iyear_2012 _Iyear_2013
_Iyear_1984 not found
r(111);

And this happens for every of my time dummies. eg...

. test  _Iyear_1998
_Iyear_1998 not found
r(111);

. test  _Iyear_1999
_Iyear_1999 not found
r(111);

. test  _Iyear_2000
_Iyear_2000 not found
r(111);

I am wondering whether it is because I have unbalanced panel data? Therefore most of my time dummies are missing?
Here is part of my data...

country	year	immi	cheattax	govex_gdp	_Iyear_1982	_Iyear_1984	_Iyear_1989	_Iyear_1990	_Iyear_1991	_Iyear_1992	_Iyear_1993	_Iyear_1995	_Iyear_1996	_Iyear_1997	_Iyear_1998	_Iyear_1999	_Iyear_2000	_Iyear_2001	_Iyear_2002	_Iyear_2005	_Iyear_2006	_Iyear_2007	_Iyear_2008	_Iyear_2009	_Iyear_2011	_Iyear_2012	_Iyear_2013
Croatia	1981		3.30424		0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
United Kingdom	1981	0.153	2.80263	21.22505	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Finland	1981	0.015771	2.39439	18.3651	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Greece	1981		3.22019	17.17662	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Hungary	1981		2.51853		0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Portugal	1981		3.13026	13.17101	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Lithuania	1981		1.85054		0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Germany	1981	0.625053	2.39521	21.27878	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Latvia	1981		3.34843		0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Ireland	1982			22.02361	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Romania	1982		3.33495	10.53066	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Italy	1984	0.086915	2.46923	18.18879	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Russian Federation	1989		2.77093	20.12216	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
France	1990		2.07956	20.95403	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Spain	1990	0.033966	2.88644	16.28429	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Lithuania	1990		2.48453		0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Finland	1990	0.013558	2.4451	20.9043	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Greece	1990	0.042021	3.08182	17.48305	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Italy	1990	0.166754	2.55252	19.66118	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Latvia	1990	0.032285	2.74093		0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Germany	1990	1.651593	3.15652	18.96746	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Slovakia	1990		3.77726	22.43157	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Belgium	1990	0.062662	2.01052	20.0581	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Switzerland	1990			11.57134	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Romania	1990		3.09551	13.32323	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Hungary	1990		2.74725		0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Russian Federation	1990		2.66075	20.78547	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Croatia	1990		4.09261		0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Luxembourg	1990	0.010281	2.45618	15.79434	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Portugal	1990		2.96697	15.28264	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
United Kingdom	1990	0.267	2.54348	18.12457	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Moldova	1990		2.26452		0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Bulgaria	1990		3.34362	18.18658	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Ireland	1991	0.033	3.09343	18.17259	0	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Switzerland	1991		2.12625	12.02098	0	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Estonia	1991		1.81471		0	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Czech Republic	1991		2.59663	21.72213	0	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Ukraine	1992		2.02886	17.55899	0	0	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Slovenia	1993	0.002745	2.01379		0	0	0	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
United Kingdom	1995	0.245	1.91612	16.7698	0	0	0	0	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Ukraine	1995		2.82171	21.26965	0	0	0	0	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Spain	1995	0.036092	3.2484	17.65218	0	0	0	0	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
Poland	1996		2.83562	18.50253	0	0	0	0	0	0	0	0	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0
. . .

Thank you
Guest

[Rich Goldstein]

it is not because you have unbalanced data - that is not a problem

do NOT use -xi-; instead read

help fvvarlist

and use factor variable notation; then use it again in your test statement

[Guest]

Dear Rich

Thank you for your answer. Do I understand correctly that I have to do as the following. For some reasons, I can only test using

testparm

, not

test

. xtreg govex_gdp immi i.year, fe

Fixed-effects (within) regression               Number of obs      =       659
Group variable: country                         Number of groups   =        33

R-sq:  within  = 0.1407                         Obs per group: min =         2
       between = 0.0059                                        avg =      20.0
       overall = 0.0188                                        max =        29

                                                F(29,597)          =      3.37
corr(u_i, Xb)  = -0.0694                        Prob > F           =    0.0000

------------------------------------------------------------------------------
   govex_gdp |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        immi |   .7379642   .5232554     1.41   0.159    -.2896809    1.765609
             |
        year |
       1982  |   .0613999   .6228564     0.10   0.922    -1.161856    1.284656
       1983  |  -.0791547   .6228892    -0.13   0.899    -1.302475    1.144166
       1984  |  -.7205684   .6228471    -1.16   0.248    -1.943806    .5026694
       1989  |  -1.015824   .6031619    -1.68   0.093    -2.200401    .1687535
       1990  |  -.5883745    .595014    -0.99   0.323     -1.75695    .5802006
       1991  |   .0496179   .5864051     0.08   0.933     -1.10205    1.201286
       1992  |   .0083485   .5807143     0.01   0.989    -1.132143     1.14884
       1993  |   .6675814   .5736565     1.16   0.245    -.4590486    1.794211
       1994  |   .1269308   .5883654     0.22   0.829    -1.028587    1.282448
       1995  |   .5023214   .5467307     0.92   0.359    -.5714279    1.576071
       1996  |   .1746217   .5461381     0.32   0.749    -.8979639    1.247207
       1997  |  -.1084133   .5504125    -0.20   0.844    -1.189393    .9725668
       1998  |  -.2402516   .5417127    -0.44   0.658    -1.304146    .8236426
       1999  |  -.1482295   .5357981    -0.28   0.782    -1.200508    .9040488
       2000  |  -.5408436   .5395606    -1.00   0.317    -1.600511    .5188241
       2001  |  -.3546592   .5366479    -0.66   0.509    -1.408606     .699288
       2002  |   -.059841   .5341485    -0.11   0.911     -1.10888    .9891976
       2003  |   .3425919    .534717     0.64   0.522    -.7075632    1.392747
       2004  |  -.1393354   .5348774    -0.26   0.795    -1.189806    .9111348
       2005  |  -.1703713   .5403185    -0.32   0.753    -1.231527    .8907848
       2006  |  -.4318747   .5314709    -0.81   0.417    -1.475655    .6119053
       2007  |  -.7916595   .5329145    -1.49   0.138    -1.838274    .2549556
       2008  |  -.0111874   .5371762    -0.02   0.983    -1.066172    1.043797
       2009  |   1.642572   .5356862     3.07   0.002     .5905139    2.694631
       2010  |   1.299485   .5372733     2.42   0.016     .2443098    2.354661
       2011  |   .6970067    .535286     1.30   0.193    -.3542657    1.748279
       2012  |   .5265355   .5332517     0.99   0.324    -.5207418    1.573813
       2013  |   .4865009   .5334227     0.91   0.362    -.5611123    1.534114
             |
       _cons |   19.66947   .4450528    44.20   0.000     18.79541    20.54353
-------------+----------------------------------------------------------------
     sigma_u |  2.6984601
     sigma_e |  1.5255882
         rho |  .75779023   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(32, 597) =    61.16             Prob > F = 0.0000

. test i.year

i: operator invalid
r(198);

. testparm i.year

( 1) 1982.year = 0
( 2) 1983.year = 0
( 3) 1984.year = 0
( 4) 1989.year = 0
( 5) 1990.year = 0
( 6) 1991.year = 0
( 7) 1992.year = 0
( 8) 1993.year = 0
( 9) 1994.year = 0
(10) 1995.year = 0
(11) 1996.year = 0
(12) 1997.year = 0
(13) 1998.year = 0
(14) 1999.year = 0
(15) 2000.year = 0
(16) 2001.year = 0
(17) 2002.year = 0
(18) 2003.year = 0
(19) 2004.year = 0
(20) 2005.year = 0
(21) 2006.year = 0
(22) 2007.year = 0
(23) 2008.year = 0
(24) 2009.year = 0
(25) 2010.year = 0
(26) 2011.year = 0
(27) 2012.year = 0
(28) 2013.year = 0

F( 28, 597) = 3.38
Prob > F = 0.0000

Thank you
Guest

[Rich Goldstein]

looks right to me