May I get your advice? I ran a felm regression in R and the coefficient on the variable of interest, Tax becomes NA after an IV is used (lagged value of the tax variable).
felm(formula = log(IFDI) ~ Tax + log(Monthly Earnings) + log(GDP) | Economy + Year | (Tax | GDP ~ lag(Tax, 3) + lag(GDP, 1)) | Economy, data = joined3) %>%
summary(Model9,Robust = TRUE)
Thank you.
Residuals: Min 1Q Median 3Q Max -0.72916 -0.07161 0.00000 0.07114 0.45628
Coefficients:
Estimate Cluster s.e. t value Pr(>|t|)
Tax NA 0.000e+00 NA NA
log(Monthly Earnings) -3.206e-01 3.012e-01 -1.064 0.290229
log(GDP) 1.323e+00 3.525e-01 3.752 0.000326 ***
Tax(fit) 2.133e-02 9.229e-03 2.311 0.023345 *
GDP(fit) -5.952e-08 7.802e-08 -0.763 0.447693
Signif. codes: 0 ‘’ 0.001 ‘’ 0.01 ‘’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.1676 on 82 degrees of freedom (358 observations deleted due to missingness) Multiple R-squared(full model): 0.9921 Adjusted R-squared: 0.9884 Multiple R-squared(proj model): 0.4217 Adjusted R-squared: 0.1466 F-statistic(full model, iid): 265 on 39 and 82 DF, p-value: < 2.2e-16 F-statistic(proj model): 7.129 on 5 and 20 DF, p-value: 0.0005641 F-statistic(endog. vars):6.484 on 2 and 20 DF, p-value: 0.00675