Hi everybody 
How do I test if a time dummy is significant in a panel data?
How do I test if a time dummy is significant in a panel data?
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The output of any variable, whether it is a "dummy" variable or not, is interpreted in the same way. Stata uses the same layout for all estimation program results. The first column gives the name of the variable. The second gives its regression coefficient (or a transform thereof such as an odds ratio or incidence rate ratio in some circumstances), the third column gives the standard error of the coefficient. The fourth column gives a test statistic, which, depending on the particular analysis, might be a t, z, or chi square statistic testing a null hypothesis (usually the null hypothesis that the coefficient is zero). Following that in the fifth column is the p-value for that hypothesis test, which you can use to assess statistical significance. The sixth and seventh columns give the lower and upper 95% confidence limits (or confidence limits at some other level if a different level was specified in the command.) It doesn't matter what type of regression was done, nor what type of variable we are referring to, the layout and the interpretation are the same. -
I dont think I made myself clear. I meant that I want to perform a formel test, in order to decide whether my time invariant dummy l.time is significant? I have many coefficients for the dummy as my period stretches over 20 years.Comment
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You need to present your regression command to better illustrate your question. In xtreg,fe, here is how you test the joint significance of the time dummies which can also be considered a test for the choice between the one-way fixed effects model and the two-way fixed effects model
Code:webuse grunfeld . qui xtreg invest mvalue kstock i.year, fe . testparm i.year ( 1) 1936.year = 0 ( 2) 1937.year = 0 ( 3) 1938.year = 0 ( 4) 1939.year = 0 ( 5) 1940.year = 0 ( 6) 1941.year = 0 ( 7) 1942.year = 0 ( 8) 1943.year = 0 ( 9) 1944.year = 0 (10) 1945.year = 0 (11) 1946.year = 0 (12) 1947.year = 0 (13) 1948.year = 0 (14) 1949.year = 0 (15) 1950.year = 0 (16) 1951.year = 0 (17) 1952.year = 0 (18) 1953.year = 0 (19) 1954.year = 0 F( 19, 169) = 1.40 Prob > F = 0.1309Comment
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thank you so much for the reply. But how do I interpret this? Is the timedummy significant or not?Comment
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So when you are interpreting any test result (in general), the first question that you should ask is what is the null hypothesis. In this case, the null is that the time dummies are jointly equal to 0 which implies that they are jointly not significant. The second step is to look at the p-value, and its significance means that you reject the null hypothesis in favor of the alternative hypothesis. In your case, the p-value is highly significant (p-value <0.0001) implying that the time dummies are jointly significant. If your goal was to choose between the one-way fixed effects model and the two-way fixed effects model based on this test, then you would go for the two-way model.Comment
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so it is correct understood that a two way FE means that I perform a FE model including the time-dummy?Comment
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Yes. Note that it is time dummies (plural)Comment
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Thank you so much for your helpComment
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can you tell me how I can export this output into a word document?Comment
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Look at
There are examples in there.Code:help esttab
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is this test equivalent to testing for time fixed effects? or is just to test joint significance of time dummies?Comment
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Both are one and the same. To test for time effects, we test for the joint significance of the time dummies.Comment
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Dear all,
In my two-way fixed effects model, time dummies are individually not significant, but are jointly significant. I guess that it implies that the two-way fixed effects model is appropriate, but I am having trouble interpreting this result more precisely. Time does have a significant effect over the whole period, but not on a yearly scale??? Any help would be appreciated!
Best,
Anne
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The observed coefficients are relative to the base (omitted) coefficient. It may be the case that each coefficient does not differ from the base coefficient, but you have not compared the observed coefficients to each other. In any case, the joint significance is what matters in terms of your choice. If you want to get the full range of comparisons, you can use margins.
Res.:Code:webuse grunfeld, clear xtreg invest mvalue kstock i.year, fe margins year, pwcompare(pveffects)
Code:. margins year, pwcompare(pveffects) Pairwise comparisons of predictive margins Number of obs = 200 Model VCE: Conventional Expression: Linear prediction, predict() ------------------------------------------------------ | Delta-method Unadjusted | Contrast std. err. z P>|z| --------------+--------------------------------------- year | 1936 vs 1935 | -19.19741 23.67586 -0.81 0.417 1937 vs 1935 | -40.69001 24.69541 -1.65 0.099 1938 vs 1935 | -39.2264 23.23594 -1.69 0.091 1939 vs 1935 | -69.47029 23.65607 -2.94 0.003 1940 vs 1935 | -44.23507 23.80979 -1.86 0.063 1941 vs 1935 | -18.80446 23.694 -0.79 0.427 1942 vs 1935 | -21.13979 23.38163 -0.90 0.366 1943 vs 1935 | -42.97762 23.55287 -1.82 0.068 1944 vs 1935 | -43.09876 23.6102 -1.83 0.068 1945 vs 1935 | -55.68303 23.89561 -2.33 0.020 1946 vs 1935 | -31.16928 24.11598 -1.29 0.196 1947 vs 1935 | -39.39223 23.78368 -1.66 0.098 1948 vs 1935 | -43.71651 23.96965 -1.82 0.068 1949 vs 1935 | -73.4951 24.18292 -3.04 0.002 1950 vs 1935 | -75.89611 24.34553 -3.12 0.002 1951 vs 1935 | -62.4809 24.86425 -2.51 0.012 1952 vs 1935 | -64.63233 25.3495 -2.55 0.011 1953 vs 1935 | -67.71796 26.61108 -2.54 0.011 1954 vs 1935 | -93.52622 27.10786 -3.45 0.001 1937 vs 1936 | -21.4926 23.41302 -0.92 0.359 1938 vs 1936 | -20.029 23.4567 -0.85 0.393 1939 vs 1936 | -50.27288 23.20539 -2.17 0.030 1940 vs 1936 | -25.03767 23.20592 -1.08 0.281 1941 vs 1936 | .3929452 23.24609 0.02 0.987 1942 vs 1936 | -1.942385 23.57649 -0.08 0.934 1943 vs 1936 | -23.78021 23.42174 -1.02 0.310 1944 vs 1936 | -23.90136 23.38106 -1.02 0.307 1945 vs 1936 | -36.48563 23.34652 -1.56 0.118 1946 vs 1936 | -11.97187 23.40037 -0.51 0.609 1947 vs 1936 | -20.19483 23.95939 -0.84 0.399 1948 vs 1936 | -24.5191 24.27706 -1.01 0.313 1949 vs 1936 | -54.29769 24.46878 -2.22 0.026 1950 vs 1936 | -56.6987 24.48397 -2.32 0.021 1951 vs 1936 | -43.28349 24.37577 -1.78 0.076 1952 vs 1936 | -45.43492 24.80626 -1.83 0.067 1953 vs 1936 | -48.52055 25.57849 -1.90 0.058 1954 vs 1936 | -74.32881 26.28383 -2.83 0.005 1938 vs 1937 | 1.463603 24.2351 0.06 0.952 1939 vs 1937 | -28.78028 23.51771 -1.22 0.221 1940 vs 1937 | -3.545069 23.40731 -0.15 0.880 1941 vs 1937 | 21.88554 23.55062 0.93 0.353 1942 vs 1937 | 19.55021 24.30881 0.80 0.421 1943 vs 1937 | -2.287612 23.92976 -0.10 0.924 1944 vs 1937 | -2.408759 23.82231 -0.10 0.919 1945 vs 1937 | -14.99303 23.55889 -0.64 0.525 1946 vs 1937 | 9.520725 23.48533 0.41 0.685 1947 vs 1937 | 1.297771 24.62892 0.05 0.958 1948 vs 1937 | -3.026506 25.01346 -0.12 0.904 1949 vs 1937 | -32.80509 25.17315 -1.30 0.193 1950 vs 1937 | -35.2061 25.07969 -1.40 0.160 1951 vs 1937 | -21.7909 24.52536 -0.89 0.374 1952 vs 1937 | -23.94232 24.8852 -0.96 0.336 1953 vs 1937 | -27.02795 25.25517 -1.07 0.285 1954 vs 1937 | -52.83621 26.07413 -2.03 0.043 1939 vs 1938 | -30.24389 23.34138 -1.30 0.195 1940 vs 1938 | -5.008671 23.44871 -0.21 0.831 1941 vs 1938 | 20.42194 23.34856 0.87 0.382 1942 vs 1938 | 18.08661 23.17438 0.78 0.435 1943 vs 1938 | -3.751214 23.24003 -0.16 0.872 1944 vs 1938 | -3.872361 23.27274 -0.17 0.868 1945 vs 1938 | -16.45663 23.46072 -0.70 0.483 1946 vs 1938 | 8.057122 23.61587 0.34 0.733 1947 vs 1938 | -.1658317 23.42073 -0.01 0.994 1948 vs 1938 | -4.490108 23.58715 -0.19 0.849 1949 vs 1938 | -34.26869 23.74645 -1.44 0.149 1950 vs 1938 | -36.6697 23.84045 -1.54 0.124 1951 vs 1938 | -23.2545 24.15953 -0.96 0.336 1952 vs 1938 | -25.40592 24.55653 -1.03 0.301 1953 vs 1938 | -28.49156 25.60374 -1.11 0.266 1954 vs 1938 | -54.29982 26.0657 -2.08 0.037 1940 vs 1939 | 25.23521 23.14316 1.09 0.276 1941 vs 1939 | 50.66583 23.13657 2.19 0.029 1942 vs 1939 | 48.3305 23.35672 2.07 0.039 1943 vs 1939 | 26.49267 23.21816 1.14 0.254 1944 vs 1939 | 26.37152 23.19015 1.14 0.255 1945 vs 1939 | 13.78726 23.17699 0.59 0.552 1946 vs 1939 | 38.30101 23.22489 1.65 0.099 1947 vs 1939 | 30.07805 23.57282 1.28 0.202 1948 vs 1939 | 25.75378 23.8143 1.08 0.280 1949 vs 1939 | -4.024807 23.95408 -0.17 0.867 1950 vs 1939 | -6.425819 23.95215 -0.27 0.788 1951 vs 1939 | 6.989388 23.87216 0.29 0.770 1952 vs 1939 | 4.837962 24.22317 0.20 0.842 1953 vs 1939 | 1.75233 24.94469 0.07 0.944 1954 vs 1939 | -24.05593 25.52497 -0.94 0.346 1941 vs 1940 | 25.43061 23.14742 1.10 0.272 1942 vs 1940 | 23.09528 23.4584 0.98 0.325 1943 vs 1940 | 1.257457 23.27331 0.05 0.957 1944 vs 1940 | 1.13631 23.2313 0.05 0.961 1945 vs 1940 | -11.44796 23.17133 -0.49 0.621 1946 vs 1940 | 13.06579 23.19403 0.56 0.573 1947 vs 1940 | 4.842839 23.66796 0.20 0.838 1948 vs 1940 | .5185628 23.92638 0.02 0.983 1949 vs 1940 | -29.26002 24.06167 -1.22 0.224 1950 vs 1940 | -31.66103 24.03795 -1.32 0.188 1951 vs 1940 | -18.24583 23.86576 -0.76 0.445 1952 vs 1940 | -20.39725 24.20563 -0.84 0.399 1953 vs 1940 | -23.48288 24.84901 -0.95 0.345 1954 vs 1940 | -49.29115 25.4568 -1.94 0.053 1942 vs 1941 | -2.335331 23.33614 -0.10 0.920 1943 vs 1941 | -24.17316 23.19535 -1.04 0.297 1944 vs 1941 | -24.2943 23.16868 -1.05 0.294 1945 vs 1941 | -36.87857 23.1545 -1.59 0.111 1946 vs 1941 | -12.36482 23.19729 -0.53 0.594 1947 vs 1941 | -20.58777 23.50776 -0.88 0.381 1948 vs 1941 | -24.91205 23.7315 -1.05 0.294 1949 vs 1941 | -54.69063 23.8569 -2.29 0.022 1950 vs 1941 | -57.09165 23.8474 -2.39 0.017 1951 vs 1941 | -43.67644 23.76191 -1.84 0.066 1952 vs 1941 | -45.82787 24.09014 -1.90 0.057 1953 vs 1941 | -48.9135 24.78677 -1.97 0.048 1954 vs 1941 | -74.72176 25.33737 -2.95 0.003 1943 vs 1942 | -21.83783 23.182 -0.94 0.346 1944 vs 1942 | -21.95897 23.21608 -0.95 0.344 1945 vs 1942 | -34.54324 23.39232 -1.48 0.140 1946 vs 1942 | -10.02949 23.52777 -0.43 0.670 1947 vs 1942 | -18.25244 23.24257 -0.79 0.432 1948 vs 1942 | -22.57672 23.35792 -0.97 0.334 1949 vs 1942 | -52.3553 23.47278 -2.23 0.026 1950 vs 1942 | -54.75632 23.54052 -2.33 0.020 1951 vs 1942 | -41.34111 23.82988 -1.73 0.083 1952 vs 1942 | -43.49254 24.15733 -1.80 0.072 1953 vs 1942 | -46.57817 25.12082 -1.85 0.064 1954 vs 1942 | -72.38643 25.49756 -2.84 0.005 1944 vs 1943 | -.121147 23.13649 -0.01 0.996 1945 vs 1943 | -12.70542 23.21482 -0.55 0.584 1946 vs 1943 | 11.80834 23.29775 0.51 0.612 1947 vs 1943 | 3.585383 23.27433 0.15 0.878 1948 vs 1943 | -.738894 23.42551 -0.03 0.975 1949 vs 1943 | -30.51748 23.52974 -1.30 0.195 1950 vs 1943 | -32.91849 23.54942 -1.40 0.162 1951 vs 1943 | -19.50328 23.64171 -0.82 0.409 1952 vs 1943 | -21.65471 23.9445 -0.90 0.366 1953 vs 1943 | -24.74034 24.74625 -1.00 0.317 1954 vs 1943 | -50.5486 25.17805 -2.01 0.045 1945 vs 1944 | -12.58427 23.18086 -0.54 0.587 1946 vs 1944 | 11.92948 23.24892 0.51 0.608 1947 vs 1944 | 3.70653 23.31252 0.16 0.874 1948 vs 1944 | -.617747 23.47821 -0.03 0.979 1949 vs 1944 | -30.39633 23.58234 -1.29 0.197 1950 vs 1944 | -32.79734 23.58928 -1.39 0.164 1951 vs 1944 | -19.38214 23.62328 -0.82 0.412 1952 vs 1944 | -21.53356 23.92339 -0.90 0.368 1953 vs 1944 | -24.61919 24.68081 -1.00 0.319 1954 vs 1944 | -50.42746 25.13577 -2.01 0.045 1946 vs 1945 | 24.51375 23.14732 1.06 0.290 1947 vs 1945 | 16.2908 23.47541 0.69 0.488 1948 vs 1945 | 11.96652 23.67736 0.51 0.613 1949 vs 1945 | -17.81206 23.77224 -0.75 0.454 1950 vs 1945 | -20.21308 23.73292 -0.85 0.394 1951 vs 1945 | -6.797868 23.57166 -0.29 0.773 1952 vs 1945 | -8.949295 23.84817 -0.38 0.707 1953 vs 1945 | -12.03493 24.44082 -0.49 0.622 1954 vs 1945 | -37.84319 24.95347 -1.52 0.129 1947 vs 1946 | -8.222954 23.58158 -0.35 0.727 1948 vs 1946 | -12.54723 23.79339 -0.53 0.598 1949 vs 1946 | -42.32582 23.87597 -1.77 0.076 1950 vs 1946 | -44.72683 23.80845 -1.88 0.060 1951 vs 1946 | -31.31162 23.54054 -1.33 0.183 1952 vs 1946 | -33.46305 23.79217 -1.41 0.160 1953 vs 1946 | -36.54868 24.28162 -1.51 0.132 1954 vs 1946 | -62.35694 24.80931 -2.51 0.012 1948 vs 1947 | -4.324277 23.15932 -0.19 0.852 1949 vs 1947 | -34.10286 23.20028 -1.47 0.142 1950 vs 1947 | -36.50387 23.22728 -1.57 0.116 1951 vs 1947 | -23.08867 23.47939 -0.98 0.325 1952 vs 1947 | -25.24009 23.68945 -1.07 0.287 1953 vs 1947 | -28.32572 24.51678 -1.16 0.248 1954 vs 1947 | -54.13398 24.7417 -2.19 0.029 1949 vs 1948 | -29.77858 23.14476 -1.29 0.198 1950 vs 1948 | -32.1796 23.1752 -1.39 0.165 1951 vs 1948 | -18.76439 23.49811 -0.80 0.425 1952 vs 1948 | -20.91582 23.66672 -0.88 0.377 1953 vs 1948 | -24.00145 24.50339 -0.98 0.327 1954 vs 1948 | -49.80971 24.63549 -2.02 0.043 1950 vs 1949 | -2.401012 23.14625 -0.10 0.917 1951 vs 1949 | 11.01419 23.44705 0.47 0.639 1952 vs 1949 | 8.862769 23.57354 0.38 0.707 1953 vs 1949 | 5.777137 24.35359 0.24 0.812 1954 vs 1949 | -20.03112 24.43391 -0.82 0.412 1951 vs 1950 | 13.41521 23.33481 0.57 0.565 1952 vs 1950 | 11.26378 23.43051 0.48 0.631 1953 vs 1950 | 8.178149 24.11129 0.34 0.734 1954 vs 1950 | -17.63011 24.19119 -0.73 0.466 1952 vs 1951 | -2.151426 23.16899 -0.09 0.926 1953 vs 1951 | -5.237058 23.49494 -0.22 0.824 1954 vs 1951 | -31.04532 23.67891 -1.31 0.190 1953 vs 1952 | -3.085631 23.33629 -0.13 0.895 1954 vs 1952 | -28.89389 23.43739 -1.23 0.218 1954 vs 1953 | -25.80826 23.22233 -1.11 0.266 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