Is there any Stata command
that can be used to estimate a model with a fixed subject effect (where
subject is the grouping variable) and a random time effect?
Presuming that there are not too many subjects to 'dummify', this can be
done by lying through your teeth. If you say 'iis time' and 'tis subject',
xtreg, re will then run a random-time-effects model. Since xtreg does not
support two-way effects, you have to dummify the other dimension (or deal
with it in other ways, such as conducting the demeaning outside of the
estimation step).
