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Re: st: Basic fixed effects estimator question


From   David Jacobs <[email protected]>
To   [email protected]
Subject   Re: st: Basic fixed effects estimator question
Date   Fri, 17 Dec 2004 16:29:24 -0500

Maybe an easier way (although it produces much more output) is to use tabulate [e.g. "tabulate dm, generate(caseid)"] to generate a dummy for each value of your case indentifier and then use regress. The output is bulky because all of the coefficients on the case dummies are reported, but then you can use the diagnostics available for regression like rvfplot or acprplot etc. Remember as well that "areg" produces fixed effects estimation and robust is allowed.

Dave Jacobs

At 01:12 PM 12/17/2004 -0800, you wrote:

Hi Stata users,

I have a question about the estimator for fixed effects in
the linear model. That is

. xtreg, fe

I have seen in the XT manual ( version 8, p. 207) that this
is estimated by running OLS on:

yit -yi(bar) + y (double bar) = ......

I was wondering if there is an easy way to force Stata to do
the traditional version of this estimator, that is run OLS
on:

yit - yi (bar) = ....

I know that I could transform the data but I will like to
know if Stata can do this automatically.

Thanks,
Alejandro

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