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Re: st: xtreg


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtreg
Date   Fri, 30 Apr 2004 02:23:39 +0100 (BST)

Fabio Pericolini wrote:

> Many many thanks for your help,
> I know that the R^2 is not a parameter on which value my regression but
> this is first time I run a xtreg , fe and so I don't how value that.
> These are two example of my xtreg output.
> According to you , in the fixed models is possible interpret the fixed
> effect
> as a component of the intercept and so calculate the R^2 as a corr(Xb +
> u_i , y)^2???

[...]

You didn't say whether your dependent variable was differenced or not. If
it has been, then - if my reading of the methodological literature is
correct - the fixed effect is removed. The FE at time _t_ minus the FE at
time _t_+1 equals 0! Thus, there is no FE is interpret in this context.

CLIVE NICHOLAS        |t: 0(044)191 222 5969
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps
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