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RE: st: fixed effects regression


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: fixed effects regression
Date   Fri, 30 Sep 2005 17:21:46 -0400

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> NEYMOTIN, FLORENCE
> Sent: Friday, September 30, 2005 5:02 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: fixed effects regression
> 
> so there is no way to get the coefficients  from the fixed 
> effects regression when I just run it as "xtreg..., fe.."  ?  
> I thought there should be a way to get them...

Florence,

-xtreg, fe- estimates the within equation. The whole point of the within
transformation is to wipe out the individual effect from the equation.

To estimate the fixed effects without having to manually create the
group dummies, you can use -regress- with the -xi:- prefix. For example:

webuse abdata 
xi, noomit: regress n ys w k i.id, noconstant

The options -noomit- and -noconstant- guarantee that no group dummy will
be dropped due to collinearity.

Note that if you use the -noconstant- option without -noomit-, Stata
still drops a group dummy.

Jean Salvati

> 
> On Fri, 30 Sep 2005 16:55:30 -0400
>   David Jacobs <jacobs.184@sociology.osu.edu> wrote:
> > If you use the stata commands "xtreg" or "areg" --or the 
> other fixed effects commands for 
> >limited dependent variables--you can't control the number of 
> fixed effects; these programs do 
> >this automatically.
> > 
> > If you alter an OLS analysis by including dummies for each 
> case (and possibly dummies for each 
> >period), such models will run, although the program may 
> suppress one case dummy or a year dummy 
> >or the intercept.  If you use this augmented OLS approach to 
> estimate a fixed-effects model, the 
> >"reg" program will list the coefficients on the dummies and 
> their standard errors.  The only 
> >disadvantage is output that can be quite large.
> > 
> > Note that throwing in the dummies in an attempt to use a 
> fixed effects approach to explain 
> >limited dependent variables with estimators such as logit, 
> probit, or Tobit will produce 
> >incorrect estimates. This dummy variable inclusion approach 
> only is sound for an analysis that 
> >could appropriately use stata routines such as "xtreg" or "areg".
> > 
> > Dave Jacobs
> > 
> > At 04:28 PM 9/30/2005, you wrote:
> >>hi, if I am running a regression with fixed effects. (1) is 
> there a limit on the number of 
> >>fixed-effects I can use, and (2) is there a way to retrieve 
> the coefficients on the fixed effects 
> >>(and possibly also their standard errors) afterwards?
> >>Thank you
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