Panel Data: Vary in time but constant for all individuals

ARDE

New Member
#1
Dear all,

we are using a standard panel model like Y_it = a_i + b*X_it + e_it.
For one additional variable (prices=P) we only have observations through time, but not across individuals, i.e. prices are the same for all individuals (think of "i" being the districts and prices are given for the entire country only).
Another aspect is a simple linear time trend (for technology).
Now, the model reads: Y_it = a_i + b*X_it + c*P_t + d*t + e_it.
Our question is: How do we tell our software (R or stata) that some variables are constant across individuals. If we just repeat those entries in the input matrix, will we not get the wrong standard errors? (Because the software "thinks" that we have multiple observations???)

Many thanks in advance

ARDE