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From |
"Hamilton Lankford" <Hamp@albany.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Seeking a STATA program for estimating a two-way fixed effect model where the panel is unbalanced |

Date |
Sun, 7 Nov 2004 07:59:08 -0500 |

I need to estimate a two-way fixed effects model employing unbalanced panel data. What I need is an implementation of the fixed effect formulation developed by Wansbeek and Kapteyn (J. of Econometrics, 1989). It is my understanding that STATA does not include such a procedure. Furthermore, I can't employ STATA's one-way fixed effect procedure by explicitly employing the full set of dummy variables for one of the indices; each of the indices contain too many groups. Do you know if such a STATA program is available? Any information you can provide would be greatly appreciated. DETAILS: My data set contains roughly 800,000 records with the number of individuals, indexed by j, roughly equaling 250,000 and the number of units (e.g., firms) characterized by a second index, k, being close to 40,000. The data is quite unbalanced in that only a few values of k are observed for each individual. The number of records per individual also varies somewhat. In addition to the fixed effects, the model only has a small number of explanatory variables. My central goal is to estimate the model and back out estimates of the fixed effects associated with the second index (firms) as well as the standard errors for each of those estimates. These will be used in a second-stage analysis. Any information or suggestions would be greatly appreciated. Hamp Lankford Hamilton Lankford Professor of Economics and Public Policy University at Albany State University of New York * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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