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Re: st: pooled regression vs fixed effects
From
Richard Williams <[email protected]>
To
[email protected], [email protected]
Subject
Re: st: pooled regression vs fixed effects
Date
Tue, 07 Feb 2012 13:48:59 -0500
At 01:42 PM 2/7/2012, Sami Alameen wrote:
I wonder shouldn't -areg- and -xtreg- give the same results:
use grunfeld
areg invest kstock mvalue, absorb(company)
xtreg invest kstock mvalue, fe
or with time dummies
xi: areg invest kstock mvalue i.year, absorb(company)
xi: xtreg invest kstock mvalue i.year, fe
I could be wrong, but what I remember from and old FAQ that the two
commands only differ in R2 calculation.
The -areg- help says
"areg fits a linear regression absorbing one categorical
factor. areg is designed for datasets with many groups, but not a
number of groups that increases with the sample size. See the xtreg,
fe command in [XT] xtreg for an estimator that handles the case in
which the number of groups increases with the sample size."
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME: (574)289-5227
EMAIL: [email protected]
WWW: http://www.nd.edu/~rwilliam
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