iis id
tis year
xtreg logc logq logf lf t2 t3 t4, fe
Where t2 t3 ... are time dummies. Think of fixed effects as adding dummies
for each time period (time fixed effects) and for each id (firm fixed
effects). If you plug in all time dummies (leave out one year, of course) in
your FE estimation, you will have both fixed time and firm effects.
Elda
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Yun Liu
Sent: Sunday, April 22, 2007 11:26 AM
To: [email protected]
Subject: st: fixed firm and time effects
Hi, I have a question about example 13.1, table 13.2 in Greene's
econometric textbook (5th ed.). I know the commands to estimate firm
and time effects separately.
xtreg logc logq logf lf, i(i) fe
xtreg logc logq logf lf, i(t) fe
But how to estimate a model with both firm and period fixed effects in
Stata? Thank you!
Mel
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