st: Problem with areg, xtreg, xtivreg2 for Fixed-effects model

[weiwei@sas.upenn.edu]

Hi,
    I am estimating a fixed-effect model. In deciding which command to use, I
am very struggling with the following problems:
    areg: does not give me a within R2 that does not include the effects of
groups, nor sigma estimates
    xtreg: not allow me to use -aweight-, nor -cluster- to adjust intragroup
correlation (says: insufficient observations)
    xtivreg2: SE and # of observ are different from -areg- and -xtreg- for the
same model (without including -aweight- and -cluster- that xtreg does not
allow), and no sigma estimates. However, it does give me the R2 I need.

    I am leaning toward using -areg-. With respect to R2, I understand the
difference between areg R2 and xtreg within R2, but could anyone tell me how to
decide which R2 is more appropriate to use?  My model is for a panel data with
repeated observations for the same individuals. Therefore, the groups are
individuals. If the within R2 is more relevant, can I just report the one I got
from xtivreg2 (-xtreg- does not allow me to use -aweight-, nor -cluster-),
disregarding the fact that SE and # of observervation?
    Secondly, if I use -areg-, how can I get the sigma estimation, as I can get
from a -xtreg- command?
    Thanks in advance for your help!





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