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RE: st: robust st. errors and fixed effects
> > 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
> 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.
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