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st: Re: two-way fixed effects
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
An Introduction to Modern Econometrics Using Stata:
On May 16, 2007, at 2:33 AM, Scott said:
A program to estimate two-way fixed effects is available from:
- - net from
a2reg estimates two-way fixed effects, with individual indexing the
fixed effect, and unit indexing the second fixed effect.
M. Andrews, T. Schank, and R. Upward. 2006. Practical fixed-effects
estimation methods for the three-way error components model. Stata
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