# Re: st: Pls help me! question regarding panel fixed effect model

 From "Clive Nicholas" To statalist@hsphsun2.harvard.edu Subject Re: st: Pls help me! question regarding panel fixed effect model Date Sun, 20 May 2007 07:32:07 +0100

```On 20/05/07, sams@aitlbd.net <sams@aitlbd.net> wrote:

```
```I put questons regarding panel fixed effect
estimation, but did not get any reply. Can anybody pls help me?
```
```As there are around 1200 Statalisters, it's very unlikely that
everybody will ignore your perfectly reasonable questions. But do also
remember that it's the weekend.

```
```# I want to incorporate time effects in fixed effect model. How can I
do this
in stata? What command should I use?
```
```By entering time-dummies directly into your model. See below.

```
```# There are 3 values for  R square...within, between and overall. Which
one
should be used? The value of R square is very low when I use fe, but it
is
high in case of pooled OLS. How can I  know about the R square value
for the
variables and for the country or time effects?
```
```You would look at both the 'within' and the 'overall' R^2 statistics.
Remember that 'within' refers to the observation of effects over time
_within_ units; 'between' refers to the observation of effects
_between_ units at any one point in time. Any decent econometric
textbook would tell you this.

```
```# If I use cluster option, does it correct for serial correlation and
heteroskedasticity? I need to correct both in my estimation. What does
intra
group correlation mean?
```
```Heteroskedasticity. As for the intra-group correlation, this link may
help to explain:

http://www.ats.ucla.edu/stat/stata/library/cpsu.htm

As for which model you should use, to achieve what you need, why not
Then you could do something like this:

. ivreg2 y x1 x2 d1 d2 d3, bw(2) robust cluster(group) small

where the d-variables are your time-dummies. This fits an OLS
fixe-effect model with Newey-West standard errors (although using both
the -robust- and -cluster()- options might be overdoing things). I'm
sure Kit, Mark and/or Steve will add further comments on this should
they feel the need.

--
Clive Nicholas
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```