If you use the stata commands "xtreg" or "areg" --or the other fixed effects commands for
limited dependent variables--you can't control the number of fixed effects; these programs do
this automatically.
If you alter an OLS analysis by including dummies for each case (and possibly dummies for each
period), such models will run, although the program may suppress one case dummy or a year dummy
or the intercept. If you use this augmented OLS approach to estimate a fixed-effects model, the
"reg" program will list the coefficients on the dummies and their standard errors. The only
disadvantage is output that can be quite large.
Note that throwing in the dummies in an attempt to use a fixed effects approach to explain
limited dependent variables with estimators such as logit, probit, or Tobit will produce
incorrect estimates. This dummy variable inclusion approach only is sound for an analysis that
could appropriately use stata routines such as "xtreg" or "areg".
Dave Jacobs
At 04:28 PM 9/30/2005, you wrote:
hi, if I am running a regression with fixed effects. (1) is there a limit on the number of
fixed-effects I can use, and (2) is there a way to retrieve the coefficients on the fixed effects
(and possibly also their standard errors) afterwards?
Thank you
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