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Re: st: interacted fixed effects


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: interacted fixed effects
Date   Thu, 27 Apr 2006 14:18:11 -0400

Scott--
Thanks for pointing out that I misread her email.  She wants
importer-year, exporter-year and importer-exporter fixed effects, so
. egen fe1=group(identifier exporter)
. egen fe2=group(identifier year)
. egen fe3=group(exporter year)
. xi: xtreg depvar indepvar i.fe2 i.fe3, fe i(fe1)
might do it (untested).

On 4/27/06, Scott Cunningham <scunning@gmail.com> wrote:
> Austin,
>
> If she already -tsset- the data on identifier, then this won't work,
> will it?
>
> sc
> On Apr 27, 2006, at 12:18 PM, Austin Nichols wrote:
>
> > Sounds like that regression may be over-determined, but if you are
> > determined to have that many fixed effects, you can
> > . egen g=group(identifier exporter year )
> > . xtreg depvar indepvar, fe i(g)
> >
> > On 4/27/06, Kremena Platikanova <Kremena.Platikanova@colorado.edu>
> > wrote:
> >> Dear Scott,
> >>
> >> If I use
> >>
> >> xi:xtreg depvar indepvar i.year i.exporter, fe i(identifier)
> >>
> >> wouldn't I be creating importer, exporter and year dummy variables
> >> a_i, b_j,
> >> c_t? What I want instead is importer-year, exporter-year and
> >> importer-exporter
> >> fixed effects a_it, b_jt, c_ij.
> >>
> >> Also, I have a large number of importers and exporters and using
> >> dummy
> >> variables is not feasible. My goal is to demean the data and
> >> regress the
> >> demeaned data.
> >>
> >> Kremena
> >
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