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Re: st: Literature Reference for Stata's Fixed-Effects Transformation
From
Conor Hughes <[email protected]>
To
[email protected]
Subject
Re: st: Literature Reference for Stata's Fixed-Effects Transformation
Date
Tue, 24 Aug 2010 06:02:16 -0500
Hi Sebastian,
I'm not positive, as I'm currently traveling and don't have my copy
with me, but I believe that this is addressed in chapter 10 of Stock
and Watson's Introduction to Econometrics textbook. Again, though,
I'm not positive.
- Conor
On Mon, Aug 23, 2010 at 11:06 AM, Sebastian van Baal <[email protected]> wrote:
>
> 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
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
--
Conor Hughes
Mathematics and Economics
University of Chicago 2011
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/