Has anyone any idea whether there exists a Stata ado command which can
estimate a two-way error component regression model for panel data
(where the first error is often characterised as an individual effect
and the second as a time effect which applies to all individuals at that
discrete time)? I'm particularly interested in applying this for a
fixed-effects model.
I've net searched and read the statalist archives to no avail. Quite
surprised given that the model appears frequently in textbooks.
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fn:Chris Bojke
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