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RE: st: robust st. errors and fixed effects


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: robust st. errors and fixed effects
Date   Mon, 21 Oct 2002 15:50:47 +0100

Mark Schaffer

> > is there a possibility to estimate a fixed effect model, 
> controlling for 
> > heterogeneity.
> > the comad robust and xtreg don`t work togetehr.
> > Is there an other way to control for h.?
> > thanks for your help
> > peter
> 
> Do you mean "heterogeneity" or "heteroskedasticity"?  The subject 
> line of your email suggests the latter.
> 
> As was suggested in a posting to Statalist earlier today, 
> you can get 
> -regress- to estimate a fixed effects model for you, and -regress- 
> will of course generate robust SEs.
> 
> The posting suggested estimating a "least squares dummy variable" 
> (LSDV) regression, with a dummy for each observational unit 
> (individual, firm, whatever).  This is OK unless you have a lot of 
> different units, in which case you get more dummy variables 
> than you 
> can reasonable handle.  A slightly more laborious but also 
> equivalent 
> method is to transform the data by putting it into mean-deviation 
> form, and then estimating on the transformed data.
 
Mark mentioned -areg- in passing in his posting
(abbreviated here): this is just to flag its 
availability given many dummy variables. 

Nick 
n.j.cox@durham.ac.uk 
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