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st: Literature Reference for Stata's Fixed-Effects Transformation
From
"Sebastian van Baal" <[email protected]>
To
<[email protected]>
Subject
st: Literature Reference for Stata's Fixed-Effects Transformation
Date
Mon, 23 Aug 2010 18:06:05 +0200
Dear Stata Users:
When Stata performs a fixed-effects estimation with the command "xtreg, fe",
it transforms the variables by subtracting the individual mean and adding
the grand mean back in. This way, a model constant is obtained. There can be
problems with the estimation of the constant, but I consider it useful.
This within-transformation is explained in the Stata manual and in some
Stata-specific books, for example in Cameron and Trivedi's
"Microeconometrics Using Stata".
However, I am looking for a reference outside the Stata-specific literature.
It does not matter whether it is a textbook or an article or something
similar. Any help would be greatly appreciated.
Sincerely
Sebastian van Baal
Cologne, Germany
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