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AW: st: WG: xtreg command and two-way fixed o random effect model
From
"Kerstin Oriold" <[email protected]>
To
<[email protected]>
Subject
AW: st: WG: xtreg command and two-way fixed o random effect model
Date
Mon, 10 May 2010 07:21:48 +0200
Dear Mr. Jacobs,
thanks a lot for your very helpful response !
With best wishes,
Kerstin Oriold
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von David Jacobs
Gesendet: Sonntag, 09. Mai 2010 21:44
An: [email protected]
Betreff: Re: st: WG: xtreg command and two-way fixed o random effect model
To get two-way fixed effects in official Stata,
one must add the year dummies. This is easily
done in Stata 11 with an term like: -i.year-
assuming that "year' is the variable name for your
time variable. In Stata 8, a separate command
like: -tabulate year, gen(yrdum)- will provide
permanent dummies for time with "yrdum" being the
stub name for each of the separate dummy
variables for each of the periods in your data set.
Although the econometrically sophisticated
probably can provide work-arrounds, it is not
possible to automatically include random effects
for time in the -xtreg- routines. Others,
however, may know of user-written programs that do this.
Both year fixed-effects and random-effects can
are readily provided in the econometrics package
called EViews, and probably (although I can't
remeber for sure) in another econometrics package called Limdep.
David Jacobs
At 07:38 AM 5/9/2010, you wrote:
>Dear all,
>
>I am working with a balanced panel data set and want to analyze the group
>and time effects.
>
>Is there any possibility to use the xtreg command in combination with a
>two-way fixed or/and random effect model ? Maybe at a more updated Stata
>Version ? I am currently working with the Stata 8.0 version?..
>
>Background to my question:
>At the moment I apply the following regression model and would like to
cross
>check these results with the ones obtained from the fixed effect model. (As
>is it possible in the case of a one-way model)
>
> xi: reg y i.idfirm i.idyear x1 x2 x3
>
>Thanks for your inputs, which are highly appreciated.
>
>Kerstin
>
>
>
>
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