1) Just add the time dummies to a fixed effect command. E.g. if t is the time variable, y the dependent, x1 and x2 the independent, then you can use
xi: xtreg y x1 x2 i.t, fe
2) You should use the overall R-square. But I have seen also all three of them (e.g. Management Science Vol. 48, No. 1, January 2002 pp. 44–60). You can find out more if you have a look at the FAQ about the R-square, in particular "Why isn't the calculation of R2 the same for areg and xtreg, fe?" and "How can I get an R-squared value when a Stata command does not supply one?"
3) Intra-group correlation is the correlation between the observations in the same group. Thus, if groups are defined by the panel-ID variable, it is the serial or auto-correlation, and the cluster option can correct for it (at least if AR1).
Nicola
At 02.33 18/05/2007 -0400, you wrote:
>Dear statalist users,
>Good morning.I have some questions regarding panel fixed effect estimation.
>
># I want to incorporate time effects in fixed effect model. How can I do this
>in stata? What command should I use?
>
># 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?
>
># 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?
>
>I am looking forward for your generous help.
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