普通的固定回归时，表示产权性质的虚拟变量被omitted

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收藏 2017-06-22

在研究信贷融资歧视问题，变量中有表示产权性质的虚拟变量state，用xtreg，fe 的话，state会被omitted，控制行业的话，行业没有被omitted。请问这是怎么回事？是产权性质与其他变量共线了吗？我参考的论文上面也是用这些变量，没有被omitted的呀。用xtscc，state也会被omitted；用xtgls，state不会被omitted。

Fixed-effects (within) regression             Number of obs    =    4,122
Group variable: code                         Number of groups  =       941

R-sq:                                        Obs per group:
   within  = 0.1828                                        min =       1
   between = 0.0360                                        avg =       4.4
   overall = 0.0397                                        max =       8

                                             F(7,3174)       =    101.41
corr(u_i, Xb)  = -0.3672                      Prob > F       =    0.0000

------------------------------------------------------------------------------
interest7_w |    Coef. Std. Err.    t P>|t|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
   size_w | .693881 .0316888 21.90 0.000    .6317484 .7560137
growth_w |  -.0479629 .064447 -0.74 0.457 -.1743248    .078399
   roa_w | .9044015 .5748838    1.57 0.116 -.2227799 2.031583
   lev_w |  -2.540417    .18585 -13.67 0.000 -2.904815 -2.176018
  tangible_w | .0560173 .0463844    1.21 0.227 -.0349291 .1469637
   ipm_w |  -.0016318 .0007819 -2.09 0.037 -.0031649 -.0000987
  cash_wzj_w | .5827757 .1094782    5.32 0.000    .3681205 .7974309
   state |       0  (omitted)
   _cons |  -16.70954 .7016665 -23.81 0.000    -18.0853 -15.33377
-------------+----------------------------------------------------------------
   sigma_u |  1.3099491
   sigma_e |  .58583211
      rho |  .83333094 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(940, 3174) = 13.77                Prob > F = 0.0000