st: Re: two-way fixed effects

[Kit Baum <baum@bc.edu>]

sacrificial leek

The use of 'two-way fixed effects' to describe this model is  
certainly not standard in the econometrics literature. 2WFE is  
usually understood to mean an effect for each individual and an  
effect for each time period in panel (xt) data. As I understand it  
Ouraad's approach involves nested effects, where an individual is a  
member of a unit, and there is an effect on each level: more like  
xtmixed or gllamm, which would treat these nested effects as random.  
I suppose there is ample reason to consider a nested FE model with  
two-level nesting, but I would not call it 2WFE.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On May 16, 2007, at 2:33 AM, Scott said:


> FYI
>
> A program to estimate two-way fixed effects is available from:
>
> - - net from
> http://repository.ciser.cornell.edu/viewcvs-public/cg2/branches/ 
> stata/ -
>
> Description
>
> a2reg estimates two-way fixed effects, with individual indexing the  
> first
> fixed effect, and unit indexing the second fixed effect.
>
> See also:
>
> http://vrdc.ciser.cornell.edu/news/?p=140
>
> and
>
> M. Andrews, T. Schank, and R. Upward.  2006. Practical fixed-effects
> estimation methods for the three-way error components model.  Stata  
> Journal
> 6(4) 461-481.
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