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st: xtreg fixed effects


From   "RonDorsey" <ron@dorsey21.fsnet.co.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtreg fixed effects
Date   Sat, 10 Aug 2002 01:26:15 +0100

Dear Statalist(ers)

Can you put me right on something re: fixed effects on panel data?

I've always thought (probably wrongly) that running fixed effects (xtreg,
fe) is the same as running OLS (including group dummies) on the same model.

If I run both separately, I do get the same results except that:

1.  dummy coefficients from OLS are not the same as the fixed effects ui
from xtpred

and

2.  the constant terms (and their significance) are different.

I presume this may be because in OLS I have to exclude one group dummy.

My questions are:

a)  Are the group dummies and fixed effects coefficients equivalent in some
way?

b)  Should I really use the ui from xtreg, fe and if so how can I get
standard errors so I can test significance for each group?

c)  Whether or not the constant term is significantly different from zero
has important implications for my hypothesis testing (it is in OLS but not
for fixed effects.  Can you confirm which I should be using?


Many thanks in advance for your assistance.

Ron Dorsey


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