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st: Re: Random time effect in models for panel data


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Random time effect in models for panel data
Date   Wed, 16 Oct 2002 23:12:42 -0500

----- Original Message -----
From: "James W. Shaw" <shaw@pharmacy.arizona.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, October 16, 2002 10:03 PM
Subject: st: Random time effect in models for panel data


>  Is there any Stata command
> that can be used to estimate a model with a fixed subject effect (where
> subject is the grouping variable) and a random time effect?

I'm not sure if this is valid, but how about :

xi i.id
xtreg y x _I*, re i(time)

> Also, is there any Stata command that will allow one to estimate a random
subject
> effect and random time effect in the same model?

I believe gllamm can estimate multiple random effects:

gllamm y x, i(id time)

Scott




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