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st: RE: RE: RE: time random effects


From   "Wanli Zhao" <zhaowl@temple.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: RE: time random effects
Date   Wed, 22 Jun 2005 21:40:59 -0400

Thank you, Scott. Without disrespect, I am still a little bit unsure about
this. Several small points raise my concern. On the -help xtreg- page in
Stata, on the bottom are some command examples and none of them show time
random effects explicitly. Also, on the -findit xtreg- page, there is an
example for chapter 14 of Greene's book. I checked it, the original text
book chapter has two way effects in the table. On the Stata webpage for
this, seems that it stops on the time random effects part. In addition,
seems that when you do not specify i() in xtreg (but you specify panel tis
beforehand) and estimate random effects, it means only the cross-section
random effects, not both. I hope you could enlighten me. Just say you tried
this before. :-)

Wanli     

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Scott Merryman
Sent: Wednesday, June 22, 2005 8:38 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: RE: time random effects

If you want random time effects without cross section effects you can use
-xtreg-.  Simply specify the "i(varname)" option with the time variable
(i.e.  -xtreg depvar indepvar, i(time)-)

For two-way random effects take a look at -xtmixed- or -gllamm-

Scott


> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- 
> statalist@hsphsun2.harvard.edu] On Behalf Of Wanli Zhao
> Sent: Wednesday, June 22, 2005 3:52 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: time random effects
> 
> I asked the same question before and stared at the list every day and 
> got no reply. I did some homework and found people say that Stata can 
> do the two-way effects panel model (error component model by another 
> name). I still cannot figure out how to do it in Stata. Adding time 
> dummies to do fixed effects is simple (with/without cross-section 
> effects). But how to do time random effects, with/without 
> cross-section effects? In the literature and text books, error 
> component model with time variation and cross-section variation is 
> just there. If you know how to do it in Stat, pls help.
> Thanks
> a lot.
> 
> Wanli Zhao
> Using Stata 9
> 
> 
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