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st: Re: two-way fixed effects


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: two-way fixed effects
Date   Wed, 16 May 2007 06:55:08 -0400

sacrificial leek

The use of 'two-way fixed effects' to describe this model is certainly not standard in the econometrics literature. 2WFE is usually understood to mean an effect for each individual and an effect for each time period in panel (xt) data. As I understand it Ouraad's approach involves nested effects, where an individual is a member of a unit, and there is an effect on each level: more like xtmixed or gllamm, which would treat these nested effects as random. I suppose there is ample reason to consider a nested FE model with two-level nesting, but I would not call it 2WFE.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On May 16, 2007, at 2:33 AM, Scott said:


FYI

A program to estimate two-way fixed effects is available from:

- - net from
http://repository.ciser.cornell.edu/viewcvs-public/cg2/branches/ stata/ -

Description

a2reg estimates two-way fixed effects, with individual indexing the first
fixed effect, and unit indexing the second fixed effect.

See also:

http://vrdc.ciser.cornell.edu/news/?p=140

and

M. Andrews, T. Schank, and R. Upward. 2006. Practical fixed-effects
estimation methods for the three-way error components model. Stata Journal
6(4) 461-481.
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