Re: st: 2-way Fixed Effects model

[Austin Nichols <austinnichols@gmail.com>]

Lucas <lucaselastic@gmail.com> :
Just use -regress- e.g.
  reg y x* i.company i.county
but you will need many obs per company-cluster pair to trust those coefs.

Also see -ivreg2- on SSC for one implementation of 2-way cluster-robust SE
[ http://www.stata.com/meeting/boston10/boston10_baum.pdf ]
and compare SEs on x vars (not SE on fixed effects)
using OIM, het-robust, and cluster-robust SEs.

On Tue, Sep 4, 2012 at 1:02 PM, Lucas <lucaselastic@gmail.com> wrote:
> Dear Statalisters,
>
> I thought this was a simple issue, estimating a 2-way fixed effects
> model, but, alas, I cannot figure it out. I see several stata and
> user-written commands, but I am not certain any of them will work in
> my situation.
>
> My data is that I have dozens of companies crossed with dozens of
> jurisdictions (e.g., counties).  For substantive reasons I need to
> obtain the coefficients for each company and for each county (which
> makes areg not quite what I need).
>
> FYI, there is no time element here, so lags, AR processes, and such
> are not relevant.
>
> Any guidance anyone can offer is greatly appreciated.
>
> Sam
*
*   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/