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st: Two-Level Fixed Effects and xtdata


From   "Tim R. Sass" <tsass@coss.fsu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Two-Level Fixed Effects and xtdata
Date   Wed, 26 May 2004 17:48:16 -0400

Dear List Members,

I have a large panel of student-level data over multiple years. I want to estimate a model that will include both student-level fixed effects and school-level fixed effects, where there are 800,000+ students and 3,000+ schools. Areg will only allow one level of fixed effects. I thought about using xtdata to compute differences from student means and then using areg with school as the "absorb" variable. The manual indicates that running regress after using xtdata produces the correct coefficients, but not the correct standard errors. I presume the same would be true for areg. Has anyone written an .ado file that will compute the correct standard errors when using areg (or regress) after mean-differencing the data with xtdata?

Tim

Tim R. Sass
Professor Voice: (850)644-7087
Department of Economics Fax: (850)644-4535
Florida State University E-mail: tsass@coss.fsu.edu
Tallahassee, FL 32306-2180 Internet: http://garnet.acns.fsu.edu/~tsass


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