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st: Re: panel est with varying coeff over indivs


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: panel est with varying coeff over indivs
Date   Thu, 4 Oct 2007 06:24:45 -0400

Only Yong-Seok wants to consider the variation in coefficients over industries random. For that to work, you would have to satisfy the usual assumptions about random effects: they must be independently distributed of X. That may well not be the case.

In a fixed effects context, what you need to do is organize your data in the long structure, where each block is subscripted ij, and then define a new counter

egen unit = group(country industry)

Then you can

tsset unit time

To create industry dummies,

tab industry, gen (IND)

Drop one, and interact each of them with X in a forvalues loop creating x1, x2, ... xg

Then

xtreg y x1-xg , fe

will give you a country-industry fixed effect with an industry- specific coefficient on X.


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 Oct 4, 2007, at 2:33 AM, Maarten wrote:


- --- Yong-Seok Choi <choiys95@gmail.com> wrote:
Could you please help me out in setting the following panel
regression in Stata?

The regression model is

Y_ijt = alpha_ij + beta_j * X_ijt + e_ijt

where i : country j : industry t : time.

That is, alpha_ij is country-industry specific fixed effect and the
coefficient b_j is allowed to vary across industries.
This seems to be a problem for -xtmixed-, see: -help xtmixed-.
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