I read a working paper in which a fixed effects regression was estimated on
panel data. Some of the variables of interest are time invariant so the
author used a fixed effect decomposition in which the individual effects
are regressed on the time invariant characterisitcs.
1. Does anyone have a published reference for this method?
2. How does one adjust standard errors in the auxiliary regression for the
fact that the fixed effects are estimated?
3. How can this be done in stata?
Regards,
--Alex Cavallo
Lexecon
(312) 322-0208 voice
(312) 322-0218 fax
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