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Re: st: fixed effects with robust standard errors
> I am trying to do what Nick suggested in a posting a few years back (see
> below), i.e. to estimate a fixed effects model with
> heteroskedasticity-robust standard errors by transforming the data to
> deviations from means and then running the regress command, with the
> option robust specified.
> However, I believe I need to correct the degrees of freedom for the number
> of dummy variables this procedure implicitly estimates. Is it possible to
> do this within the regress command;
There is an undocumented -dof()- option for -regress- that sets the
residual degrees of freedom to the number provided, but I don't see why
you need to do this. Why not just use -areg-?
> should I (not being an expert
> programmer in the least) try to program it myself; or is there some other
> way to change the degrees of freedom used?
> Thanks very much,
>>From "Nick Cox" <firstname.lastname@example.org>
> To <email@example.com>
> Subject RE: st: robust st. errors and fixed effects
> Date Mon, 21 Oct 2002 15:50:47 +0100
>> > is there a possibility to estimate a fixed effect model,
>> controlling for
>> > heteroskedasticity.
>> > the comad robust and xtreg don`t work togetehr.
>> > Is there an other way to control for h.?
>> > thanks for your help
>> > peter
>> As was suggested in a posting to Statalist earlier today,
>> you can get
>> -regress- to estimate a fixed effects model for you, and -regress-
>> will of course generate robust SEs.
>> The posting suggested estimating a "least squares dummy variable"
>> (LSDV) regression, with a dummy for each observational unit
>> (individual, firm, whatever). This is OK unless you have a lot of
>> different units, in which case you get more dummy variables
>> than you
>> can reasonable handle. A slightly more laborious but also
>> method is to transform the data by putting it into mean-deviation
>> form, and then estimating on the transformed data.
> Mark mentioned -areg- in passing in his posting
> (abbreviated here): this is just to flag its
> availability given many dummy variables.
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Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
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