Fixed effect dummies in panel VAR....HELP!!!

[varprob]

Hi,
I am doing a panel VAR analysis with 6 endogeneous variables. I have quaterly data for 11 countries from 1991Q1 - 2011Q4. I also include dummy variable which takes value 1 for dates later than 1999, in order to control for change in currency Euro. Now I want add country fixed effects. To do that I include '@expand(@crossid)' in the box for exogeneous variable in VAR. I also include the euro dummy variable here. But when I am trying to estimate, its showing 'near singular matrix', even if I exclude the constant. If I exclude the euro dummy and only include '@expand(@crossid)', then I am getting result. What is the problem here? Why I cannot include both the dummies? Is it a 'dummy variable trap' problem? If yes, how can I solve it??? ...PLEASE HELP!!!
Thank you.

[startz]

It probably is the dummy variable trap. You can't include two full sets of dummies. You have to drop one dummy from one category.

[varprob]

Thank you for your reply. Can you please tell me how to drop one dummy from one category? There is a command called '@dropfirst', but how should I use it? If I write @expand(@crossid,@dropfirst), its still showing the same message 'near singular matrix' !!

[startz]

That looks right, so you might want to post your entire command.

[varprob]

Let me tell you what I am doing. I am running a panel VAR with 6 endogeneous variables. I have data for 11 countries from 1991Q1 to 2011Q4. I also have a dummy variable for tranmission of currency to euro, which takes value 1 after 1999Q1 and zero otherwise. I have pooled the data for all countries to get the 6 endogeneous variable and the dummy variable. Now I also want to add country fixed effects. When I am running the VAR, I go to Quick> Estimate VAR. Then in the box I put the endogeneous variables under the box 'endogeneous variables' and in the box for exogeneous variable I write 'dummy @expand(@crossid,@dropfirst)'. Here dummy is the dummy variable for shift in euro and @expand(@crossid,@dropfirst) is to control for country fixed effects. Then when I am clicking OK, its saying 'near singular matrix'!! I get the same message even if I add a constant. What should I do?

[startz]

Let me tell you what I am doing. I am running a panel VAR with 6 endogeneous variables. I have data for 11 countries from 1991Q1 to 2011Q4. I also have a dummy variable for tranmission of currency to euro, which takes value 1 after 1999Q1 and zero otherwise. I have pooled the data for all countries to get the 6 endogeneous variable and the dummy variable. Now I also want to add country fixed effects. When I am running the VAR, I go to Quick> Estimate VAR. Then in the box I put the endogeneous variables under the box 'endogeneous variables' and in the box for exogeneous variable I write 'dummy @expand(@crossid,@dropfirst)'. Here dummy is the dummy variable for shift in euro and @expand(@crossid,@dropfirst) is to control for country fixed effects. Then when I am clicking OK, its saying 'near singular matrix'!! I get the same message even if I add a constant. What should I do?

Everything you are doing sounds right. If you post your workfile, including the VAR object, perhaps someone will spot a problem.