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Re: st: Clustering and fixed effects


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Clustering and fixed effects
Date   Thu, 27 Apr 2006 12:53:48 -0400

Note that you must specify the fe option on -xtreg- to get a fixed
effects model.  See -help areg- for the answer to your question.

On 4/27/06, Yvonne Capstick <yvonnecapstick@hotmail.com> wrote:
> Hi,
>
> If I wish to run firm fixed effects in a panel data regression (firm x
> years), an efficient way of doing this is "xtreg y x, i(firm)".
>
> An alternative is "qui tab firm, gen dum" and then "reg y x dum*". The first
> method I prefer as I don't see all of the coefficients on the dummy
> variables (which I am not interested in) and so the log files are
> substantially shorter.
>
> I now wish to cluster standard errors by firm as well (since the FE only
> removes any constant term). However, I cannot seem to use the "cluster"
> command within xtreg: the only thing I can do is "reg y x dum*,
> cluster(firm)". But with this method I see all of the coefficients on the
> dummy variables, which I don't want to. Is there a way of having both
> clustered standard errors and FE without seeing the FE coefficients?
>
> Thanks, Yvonne

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