Re: st: constant in -xtreg (yes, again!)

[Scott Merryman <scott.merryman@gmail.com>]

On Tue, Dec 3, 2013 at 2:48 PM, jean-luc morin-chesnel
<jeanluc.morinchesnel@gmail.com> wrote:

>
> Next, by looking at the example I tried to recover the constant
> reported in -xtreg from the regression with dummy variables. Am I
> correct to compute
>
> 7.545455 (constant of the fe estimator) =( 4 + (4-2.5) + (4+4.333) +
> (4+10.333))/4
>                                                           7.0415
>                                                           (the average
> of the fixed effects in the regression dummy specification)
> ?
>

 You need to account for the unequal size of the groups.


clear
input    group    x    y
 1    0   -5
 1    8   23
 1   17   44
 2   10   29
 2   16   26
 3    4   17
 3   11   17
 3    5   31
 4   18   50
 4    5   26
 4    2   17
end

list
xtreg y x, fe  i(group)
regress y x i.group
disp (3*_b[_cons] +2*(_b[_cons]+_b[2.group])+
3*(_b[_cons]+_b[3.group]) +3*(_b[_cons]+_b[4.group]))/11

Scott
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