Interpretation of fixed effects constant

[Simon Klarmann]

Dear statalists,

i am looking at the development of corporate Investment over a period of time (17 years). My data is an unbalanced Panel with about 6500 firm year observations.
I declared my data to be time series data by the tsset command (yearly).
To investigate the relationship between my dependent variable and my Independent variables in different time periods, i divided the 17 years into 3 separate periods and used OLS and fixed effects(was supported after hausman test) regressions for every period separately.

reg depvar idepvar1 idepvar2 idepvar3 idepvar4 idepvar5 idepvar6 idepvar7, cluster (firm)
xtreg depvar idepvar1 idepvar2 idepvar3 idepvar4 idepvar5 idepvar6 idepvar7, fe cluster(firm)

As i analysed the results i found that the constants of the OLS Regressions declinend between the 3 periods while the constants of the fixed effects Regression increased.
Now i am searching for a possible explanation for that.

1. Might an increase of time invariant effects during these periods provide an answer ?

2 Can one interpret that there is less variablity of the depvar during the later periods ?

I attached the results of the regressions.

Thank you for your help !

[Phil Bromiley]

You'll increase your chances of a helpful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. Also many won't open files.

You need xtset firm year to do your panels. Rather thank dividing the data, why don't you just use interactions? Then you can do all the tests more easily. I'm not sure how to interpret the constant in a fe estimate.

[Carlo Lazzaro]

Simon:
you may be interested in: https://www.stata.com/support/faqs/s...effects-model/