Dear all,
I'm running a Fixed Effects Model with time invariant dummies. In order
to obtain an estimate of the effect of these dummies I'm performing a 2Stage
procedure.
First stage: run a FEM on the time variant covariates and obtain the FE
SEcond stage: regress the FE on the time invariant covariates. However,
I should weight the FE by the inverse of their Standard Error.
Anyone knows how can I get teh Standard Error of the FE?
Thanks,
Gonzalo Varela
University of Sussex.
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