The only way to do it is to program it, I'm afraid. The best-case scenario
is that someone else has already done it, but I don't know of anyone who has.
--Mark
Quoting daniel perez <[email protected]>:
> Mark,
>
> Do you have any suggestion to compute a two-way random
> effects model ?
> Thanks
> Daniel
>
> --- Mark Schaffer <[email protected]> a �crit :
> > These won't be two-way random effects estimations;
> > they will be a
> > combination of one-way random effects and one-way
> > fixed fixed. Which may be
> > good enough for your purposes...
> >
> > --Mark
> >
> > Quoting daniel perez <[email protected]>:
> >
> > > Just another detail Ricardo...Do I have to
> > interpret
> > > i.consi and i.const as dummies variables or ...
> > And in
> > > your example, you didn't specify the panel
> > variable
> > > and the time dimension variable ???
> > >
> > > --- Ricardo Gon�alves Silva
> > <[email protected]>
> > > a �crit :
> > > > Hi,
> > > >
> > > > just add re or mle after comma to get GLS
> > two-way
> > > > random effects or
> > > > maximum-likelihood random-effects estimator.
> > > >
> > > > xi: xtreg y x i.consi i.const. re
> > > > xi: xtreg y x i.consi i.const, mle
> > > >
> > > > I believe this is what u want.
> > > >
> > > > Cheers
> > > >
> > > > Ricardo
> > > > ----- Original Message -----
> > > > From: "daniel perez" <[email protected]>
> > > > To: <[email protected]>
> > > > Sent: Tuesday, March 01, 2005 9:51 AM
> > > > Subject: Re: st: Re: Two-way random model for
> > Panel
> > > > Data
> > > >
> > > >
> > > > > Hi thank you but I'm now looking for the two
> > way
> > > > model
> > > > > with random effects specification...
> > > > >
> > > > > Your suugestion is the fixed effect approach.
> > > > > Cheers Daniel
> > > > > --- Ricardo Gon�alves Silva
> > > > <[email protected]>
> > > > > a �crit :
> > > > >> Hi
> > > > >>
> > > > >> The correct syntax is:
> > > > >>
> > > > >>
> > > > >>
> > > > >> The common constant a0 is automatic added to
> > your
> > > > >> model.
> > > > >>
> > > > >> Ricardo
> > > > >> ----- Original Message -----
> > > > >> From: "daniel perez" <[email protected]>
> > > > >> To: <[email protected]>
> > > > >> Sent: Monday, February 28, 2005 2:01 PM
> > > > >> Subject: st: Two-way random model for Panel
> > Data
> > > > >>
> > > > >>
> > > > >> > Hi everybody,
> > > > >> >
> > > > >> > I hope I'll find somebody which is able to
> > get
> > > > >> > through a specification problem with panel
> > > > data.
> > > > >> >
> > > > >> > I want to compute a two-way random a model
> > like
> > > > >> this
> > > > >> > one:
> > > > >> >
> > > > >> > yi,t= a0+consi+const+ b1Xi,t+epsiloni,t
> > > > >> >
> > > > >> > where a0 is a common constant and consi is
> > a
> > > > >> > country specific constant and const is a
> > > > specific
> > > > >> time
> > > > >> > constant.
> > > > >> > I used xtreg y x dummy (for time period),re
> > > > >> i(country)
> > > > >> > but I'm not sure that it's the correct way
> > > > >> > to formulate this two-way model under
> > random
> > > > >> effects
> > > > >> > approach...
> > > > >> >
> > > > >> > Thank in advance for any help
> > > > >> > Daniel
> > > > >> >
> > > > >> >
> > > > >> >
> > > > >> >
> > > > >> >
> > > > >> >
> > > > >> >
> > > > >> >
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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]
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