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st: Obtaining standard errors of FE terms using xtreg
I am estimating a model with about 12,000 fixed effect terms. I am
interested in the fixed effects terms, and their standard errors.
Obtaining the fixed effects terms is straightforward.
xtreg y constant, i(panel_id) fe r
predict panel_fe, u
However, I am having trouble working out how to obtain the standard errors.
Does anyone know of a straightforward way to obtain the standard error of
each of the fixed effects terms?
Thanks very much.
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