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st: Robust standard errors in a unbalanced two-way fixed effect model


From   Fredrik Wilhelmsson <Fredrik.Wilhelmsson@nek.lu.se>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: Robust standard errors in a unbalanced two-way fixed effect model
Date   Tue, 25 May 2004 17:23:37 +0200

Title: Robust standard errors in a unbalanced two-way fixed effect model

Does anyone have any suggestions on how to calculate Arellano (or some other) robust standard errors in the framework of an unbalanced two-way panel data model? I have estimated the fixed effect  model as a one-way model with time-dummy variables.

Is their any way to estimate the transformed two-way panel data fixed effect model, that is without explicitly adding time-dummy variables, in Stata?

I would be most grateful for any suggestions.

Fredrik Wilhelmsson




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