[R] Dummy variables model

Jean Eid jeaneid at chass.utoronto.ca
Mon Sep 5 16:48:43 CEST 2005

You can turn the identity vector of the firms into a factor and do lm ....


On Mon, 5 Sep 2005, Tobias Muhlhofer wrote:

> 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.
> Toby
> --
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