Consider the model with a single regressor Yit = 1X1,it + i + t + uit. This
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where B2i = 1 if t = 2 and 0 otherwise, D2i = 1 if i = 2 and 0 otherwise, and so forth. How are the coefficients (β0, δ2,...., δT, γ2,..., γn) related to the coefficients (α1,..., αn, λ1,..., λT)?
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Related Book For
Introduction to Econometrics
ISBN: 978-0133595420
3rd edition
Authors: James H. Stock, Mark W. Watson
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