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Re: st: Re: : xtreg


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: : xtreg
Date   Sat, 1 May 2004 00:46:00 +0100 (BST)

Rafa,

Thanks very much for handling the reply to this on my behalf.
Unfortunately, I was away from the office!

C.

> Fabio,
>
> What the fixed-effects regression does, is to "wipe out" the between
> groups
> variation, leaving just the time variation. Therefore an R^2 of 0.60 tells
> you that 60% of the TIME variation in your dependent variable is explained
> by TIME variations in your independent variables.
>
> Following this argument--as Clive told you--if you regress the
> first-differences, i.e.
> Y(t)-Y(t-1) = a + b[X(t)-X(t-1)] then you will be effectively eliminating
> the between group variation (just as including a dummy variable for each
> unit of analysis "i") and no fixed effect will be present. If you are not
> running equations in first differences then don't worry about this.
>
> I hope this helps,
>
> Rafa
>
> ----- Original Message -----
> From: <fabiopericolini@fastwebnet.it>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Friday, April 30, 2004 11:10 AM
> Subject: st: : xtreg
>
>
>> Clive Nicholas wrote:
>>
>> You didn't say whether your dependent variable was differenced o
>> > 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.
>>
>> Sorry but I didn't understand your concept. Could you give me more
>> details
>> about it?
>>
>> My problem is that I don't know if with my xtreg,fe (within estimator)
> with
>> a within R^2 about 0.6 I can say that the evolution within each group is
>> described from my regressors. I have just studied the temporal
> correlaction
>> of my regressors with the dipendent variable and all seems to me
>> correct.
>> Many many thanks.
>> Your help is very useful for me.

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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