On Sunday, April 27, 2003, at 11:33 PM, statalist-digest wrote:
have panel data and would like to estimate
Y[it] = a + bX[it] + cu[i] + dv[t] + e[it]
xtreg includes the fixed group effects but not the fixed time
effect. How can I include the time effect as well? Is the only way
to do
so to include dummies for each year? This seems unnecessarily
burdensome,
and I'm sure I'm missing something obvious. Thanks very much.
You have to make the indicator variables up yourself. Try xi or tab
time, generate().
The basic problem here is that using within transformations to sweep
out indicator variables gets really messy algebraicly if the number of
sets of indicator variables exceeds one. There is a paper by Peter
Davis in the Journal of Econometrics (2002?) which goes over the messy
linear algebra required.
Sorry, Jeremy
--------------------
Jeremy T. Fox
[email protected]
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