I asked the same question before and stared at the list every day and got no
reply. I did some homework and found people say that Stata can do the
two-way effects panel model (error component model by another name). I still
cannot figure out how to do it in Stata. Adding time dummies to do fixed
effects is simple (with/without cross-section effects). But how to do time
random effects, with/without cross-section effects? In the literature and
text books, error component model with time variation and cross-section
variation is just there. If you know how to do it in Stat, pls help. Thanks
a lot.
Wanli Zhao
Using Stata 9
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