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Re: st: determining standard errors of fixed effect terms after xtreg


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: determining standard errors of fixed effect terms after xtreg
Date   Tue, 12 Feb 2008 21:08:05 -0500

All but Sarah:
Just to close this thread (for now): I surmised offlist that the FE
computed by -predict- were not the same as the FE computed by
demeaning coefs on dummy variables because the regression dropped some
collinear dummy vars, and the mean computation included zeros as
estimated FEs (when those FEs were not in fact
estimated). Given a section of code by Sarah, I suggested replacing

forv i=1/600{
 qui replace fe=_b[d`i'] if school==`i'
 qui replace se=_se[d`i'] if school==`i'
 }

with

forv i=1/600{
 qui replace fe=_b[d`i'] if school==`i' & _se[d`i']>0 & _se[d`i']<.
 qui replace se=_se[d`i'] if school==`i' & _se[d`i']>0 & _se[d`i']<.
 }

(before computing the mean of fe) and she reports that the -predict-
method now matches the coefs method.

On Feb 11, 2008 6:29 PM, Sarah Cohodes <sarah.cohodes@gmail.com> wrote:
> I implemented your first solution on the sample data, and
> unsurprisingly, it worked perfectly. Interestingly, when implemented
> in my "real" data, the FE estimated by -predict- is not the same as
> the FE estimated by taking the demeaned betas from the dummy variables
> (it is the same in bpwide.dta).  I find this slightly disturbing.
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