Good afternoon,
I have a conceptual question. I have a panel dataset and assume that I run a regression of one variable on the other (both in logs) and I include several sets of fixed effects. Due to the large number of fixed effects I use reghdfe. Now assume that I run the same regression, but I interact my explanatory variable with a dummy variable for three different groups, and therefore get a coefficient for each of the three interacted variables. Why is it that if I calculate a weighted average of the three coefficients (using the number of observations for each group) I do not get the same magnitude as the coefficient that I get if I do not interact my explanatory variable?
The same applies if in the original regression without interactions I further control for fixed effects for the three groups.
Let me know if this is clear or not, otherwise I can explain further.
many thanks, Michelle.
I have a conceptual question. I have a panel dataset and assume that I run a regression of one variable on the other (both in logs) and I include several sets of fixed effects. Due to the large number of fixed effects I use reghdfe. Now assume that I run the same regression, but I interact my explanatory variable with a dummy variable for three different groups, and therefore get a coefficient for each of the three interacted variables. Why is it that if I calculate a weighted average of the three coefficients (using the number of observations for each group) I do not get the same magnitude as the coefficient that I get if I do not interact my explanatory variable?
The same applies if in the original regression without interactions I further control for fixed effects for the three groups.
Let me know if this is clear or not, otherwise I can explain further.
many thanks, Michelle.
