Re: st: RE: decomposition with fixed effects model

[Megan Sheahan <megan.sheahan@gmail.com>]

Thanks very much for your help, Mark. "Demeaning" the variables worked
perfectly for what I needed.

All the best,
Megan

On Fri, Feb 7, 2014 at 9:22 AM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> Megan,
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>> statalist@hsphsun2.harvard.edu] On Behalf Of Megan Sheahan
>> Sent: 06 February 2014 20:03
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: decomposition with fixed effects model
>>
>> Hello,
>>
>> I am interested to know if any Stata or user-written command allows me to
>> decompose r-squared when using a fixed effects regression model.
>>
>> Here is the simple model I run: xtreg y x1 x2 x3, fe
>>
>> I would like to know the contribution of each of the variables -- x1, x2, and x3 --
>> in explaining the expected variance of y.
>>
>> With a standard OLS regression, I've been able to use the use-written command
>> "rego," which calculates Shapley values.
>>
>> A simple model like this: reg y x1 x2 x3
>>
>> Can be decomposed like this: rego y x1 \ x2 \ x3
>>
>> This command does not seem compatible with fixed effects estimation.
>> Any suggestions for doing something similar with a fixed effects model would
>> be most useful.
>
> Do you need to know the contribution of the fixed effects?
>
> If the answer is yes, then presumably you can just include them by hand as dummy variables.
>
> If the answer is no, then you can partial out the fixed effects by demeaning all your variables (i.e., demean them - Ben Jann's -center- is a handy way of doing this).  Then use rego on the demeaned variables.
>
> HTH,
> Mark
>
>>
>> Many thanks in advance,
>> Megan
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