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


From   sams@aitlbd.net
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Pls help me! question regarding panel fixed effect model
Date   Sun, 20 May 2007 13:52:17 +0600

Thanks a lot for your valuable comments. 

Quoting Clive Nicholas <clivelists@googlemail.com>:

> 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
> use Baum, Schaffer and Stillman's -ivreg2-, downloadable from SSC?
> 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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> 




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