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Re: st: Panel data question: time and individual fe estimation


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel data question: time and individual fe estimation
Date   Sun, 9 Mar 2008 13:22:15 +0000 (GMT)

--- Nuno <liststata@gmail.com> wrote:
> I'm estimating a model on a panel data sample comprised by 2000 firms
> over 15 years (unbalanced). I was wondering if there is a way for
> Stata to calculate a panel data model with both time and individual
> fixed effects, or if -xtreg- is able to estimate such a model?

In this literature fixed effects has a rather confusing double meaning:
it can either be the effects of explanatory variables in a random
effects model (option -re- in -xtreg-), or can be short for a fixed
effects model (option -fe- in -xtreg-). If you mean the latter, than I
don't know the answer. If you mean the first, than this is known as
crossed random effects, and there is an example on that in the manual
entry of -xtmixed-. 

Hope this helps,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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