Hi! Who can help?
Using a panel data set in Gretl, I'm trying to obtain a F-statistic for country fixed effects and a F-statistic for time fixed effects. Gretl offers the possibility to generate both time and unit (country) dummies in the 'add' menu, but in the 'model'-'panel'-'fixed or random effects' menu, the only option is 'include time dummies'. (not unit dummies).
The statistic for the effect of country (dummies) cannot be obtained by including all dummies in the dataset, because then they are 'Omitted due to exact collinearity'.
Any ideas on how to solve this?