[R] Dummy variables model

[Jean Eid]

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

Jean

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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> It just happened to be a 2000-step process."
>
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