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

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

Yes.

Here is an attempt:

Regression with dummies:
y_it = a_i + x_it*b + e
a_i = y_it - x_it*b + e
Calculate the average
Sum_t Sum_i a_i/(T_i*n) = Sum_t Sum_i y_it/(T_i*n) - Sum_t Sum_i
x_it/(T_i*n)  + Sum_t Sum_i e/(T_i*n)
T_i* a_i/(T_i*n) = y2bar - x2bar
xtreg,fe:
(y_it - ybar_i - y2bar) = a  + (x_it - xbar_i + x2bar)*b + e
a = (y_it - ybar_i - y2bar)- (x_it - xbar_i + x2bar)*b - e
Sum_t Sum_i a = Sum_t Sum_i [(y_it - ybar_i - y2bar)- (x_it - xbar_i +
x2bar)*b - e]
Since
Sum_t Sum_i y_it = y2bar
Sum_t Sum_i  ybar_i = y2bar
Simplifies
a*T*n = y2bar*T*n - x2bar*T*n
a = y2bar - x2bar = Sum_t Sum_i a_i/(T_i*n)



On Wed, Dec 4, 2013 at 1:07 AM, jean-luc morin-chesnel
<jeanluc.morinchesnel@gmail.com> wrote:
> Oh Scott thank you very much!
> Of course, it is the weighted average! ;-)
>
> So I am right to say that the proof that the constant is equal to the
> average fixed effects is not shown in the faq?!
>
> Many thanks again
>
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