The following example is from wooldridge Introductory Econometrics P463. I'm
using Stata to recover the fixed effects and then did it mannually, but the
two results don't match. Could any body tell me why? Thanks a lot. --Gang
clear
set more 1
use http://fmwww.bc.edu/ec-p/data/wooldridge/JTRAIN
keep fcode year lscrap d88 d89 grant grant_1
drop if lscrap==.
iis fcode
tis year
xtreg lscrap d88 d89 grant grant_1, fe
************************************************
* predict the individual effect
************************************************
predict fix,u
************************************************
* manual calculation, demeanded regression
************************************************
egen mlscrap=mean(lscrap), by(fcode)
gen dlscrap=lscrap-mlscrap
egen mgrant=mean(grant), by(fcode)
gen dgrant=grant-mgrant
egen mgrant_1=mean(grant_1), by(fcode)
gen dgrant_1=grant_1-mgrant_1
egen md88=mean(d88), by(fcode)
gen dd88=d88-md88
egen md89=mean(d89), by(fcode)
gen dd89=d89-md89
*demeaned regression
reg dlscrap dd88 dd89 dgrant dgrant_1
*manually recover the fixed effects, which are the same over time, from
greene p288
gen
fixed=mlscrap-(md88*(-0.0802)+md89*(-.2472)+mgrant*(-.2523)+mgrant_1*(-.4216
))
order fix fixed
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
