Alejandro,
Try using Ben Jann's -center- command, downloadable from ssc in the usual
way. If you use it with the -casewise- option, it will generated a
demeaned set of variables that you can use to do fixed-effects estimation
by hand. The standard errors will be wrong because you need to account
for the degrees of freedom lost by the implicitly estimated fixed effects,
but that can be fixed by hand as well.
Hope this helps.
--Mark
Quoting [email protected]:
> Hi Stata users,
>
> I have a question about the estimator for fixed effects in
> the linear model. That is
>
> . xtreg, fe
>
> I have seen in the XT manual ( version 8, p. 207) that this
> is estimated by running OLS on:
>
> yit -yi(bar) + y (double bar) = ......
>
> I was wondering if there is an easy way to force Stata to do
> the traditional version of this estimator, that is run OLS
> on:
>
> yit - yi (bar) = ....
>
> I know that I could transform the data but I will like to
> know if Stata can do this automatically.
>
> Thanks,
> Alejandro
>
> *
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>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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