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Re: st: Re: Re: RE: xi question


From   Andrea Molinari <am30@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Re: RE: xi question
Date   Fri, 04 Jun 2004 08:58:32 +0100

Rafa,
Thanks for that, I guess interpreting the constant as my missing fixed
effect is the most sensible thing to do.

This may be a basic question, but what I (still!) find puzzling is that
using the commands:

(a) xi: regress depvar varlist indivdummies timedummies

and

(b) xi: xtreg depvar varlist i.indiv i.time

I get the same fixed effects (which may be somewhat logical) but also
the same estimated coefficients for varlist, which I don't find that
logical... I'd expected to have different effects (at least on
varlist), given that the means are subtracted.

Does anyone know why this may be?

Thanks very much!

Andrea



Quoting "R.E. De Hoyos" <redeho2@hotmail.com>:

> Andrea,
>
> You can interpret the omitted country's fixed effect as being the
> constant.
> Concerning the within-estimator fixed effect, you can estimate a
> first-difference equation including your country dummies.
>
> Y(t) - Y(t+1) = b[X(t) - X(t+1)] + b'Country(1) + ....e
>
> Rafa
>
> ----- Original Message -----
> From: "Andrea Molinari" <A.Molinari@sussex.ac.uk>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Thursday, June 03, 2004 9:03 AM
> Subject: st: Re: RE: xi question
>
>
> > Nick,
> > Thanks for that. However, adding 420 dummies to my model would only
> work
> > when estimating a pooled OLS, but not a within estimator (since the
> fixed
> > effects model would drop anything that is invariant over time).
> > Any hints for doing that in fixed effects?
> > Thanks!
> > Andrea
> >
> > ----- Original Message -----
> > From: "Nick Cox" <n.j.cox@durham.ac.uk>
> > To: <statalist@hsphsun2.harvard.edu>
> > Sent: Wednesday, June 02, 2004 6:58 PM
> > Subject: st: RE: xi question
> >
> >
> > > generate the dummies yourself with -tabulate-?
> > >
> > > Nick
> > > n.j.cox@durham.ac.uk
> > >
> > > > -----Original Message-----
> > > > From: owner-statalist@hsphsun2.harvard.edu
> > > > [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of
> Andrea
> > > > Molinari
> > > > Sent: 02 June 2004 18:58
> > > > To: statalist@hsphsun2.harvard.edu
> > > > Subject: st: xi question
> > > >
> > > >
> > > > Dear Statalisters,
> > > > I am estimating an equation in panel which takes dummies for
> > > > 420 individuals
> > > > and 22 years.
> > > > I need to have the 420 fixed effects to use them in a second
> > > > stage, but I
> > > > cannot find the way of dropping the constant to get 420 (and
> > > > not 419) fixed
> > > > effects.
> > > > I tried putting "nocons" in as many places as possible (my
> sentence is
> > > > xi: xtreg depvar regressors i.indiv t.time), but xi still
> > > > drops one of my
> > > > fixed effects (calculated as individual dummies)!
> > > > Has anyone got any suggestion on how to do this using xi or any
> other
> > > > command?  (I do need the fixed effects estimated, for I have
> > > > to use their
> > > > sampling variance, or standard error, too).
> > > > Thanks very much!
> > > > Andrea
> > > >
> > > > Andrea Molinari
> > > > DPhil candidate in Economics
> > > > University of Sussex
> > > > Department of Economics
> > > > Arts Building E - office 517
> > > > Falmer, Brighton BN1 9SN
> > > > United Kingdom
> > > >
> > > > Tel: +44 (0) 1273 - 873538
> > > > Fax: +44 (0) 1273 673563
> > > >
> > > >
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Andrea Molinari
PhD in Economics student
University of Sussex
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