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R: st: time invariant vars and fixed effects


From   "Stefano Costalli" <stefano.costalli@imtlucca.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   R: st: time invariant vars and fixed effects
Date   Sun, 4 May 2008 09:59:11 +0200

>Is this designed to recover a RE-type estimate?  Presumably when
>-hausman- rejects RE?  You may want to try -xthtaylor- here instead.

Yes, this is the idea. I studied -xthtaylor-, but I'm not sure if it's the
case. Probably I have to go back to it and study it better. Do you think it
could be the appropriate command?

Thanks,
Stefano

-----Messaggio originale-----
Da: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Per conto di Austin Nichols
Inviato: domenica 4 maggio 2008 0.31
A: statalist@hsphsun2.harvard.edu
Oggetto: Re: st: time invariant vars and fixed effects

Stefano  Costalli <stefano.costalli@imtlucca.it>:
I think the approach is ill-advised, but you can
 ssc inst fese
 help fese
for a program to save estimated fixed effects and SEs from a FE
regression, then specify the SE as aweights in your second regression
(weighting the second step by the precision of the estimates from the
first step).  The standard errors in the second regression will still
be wrong, so a Murphy-Topel correction [see SJ 6(4):521--529] or
-bootstrap- may be required.

Is this designed to recover a RE-type estimate?  Presumably when
-hausman- rejects RE?  You may want to try -xthtaylor- here instead.

On Fri, May 2, 2008 at 12:43 PM, Stefano  Costalli
<stefano.costalli@imtlucca.it> wrote:
> Dear all,
>
>  I'm searching for ways to obtain coefficients of time invariant variables
in a fixed effects model. I have tried with -xtfevd-, a command recently
written and discussed on this forum, but I'd like to do some comparisons.
>  I found a paper where the author says that he calculated the coefficients
of time invariant variables in two steps. First, he runs the fixed effects
model with all indep. vars. and then he runs an ols regression of the time
invariant variables on the results of the fixed effects (that in this step
embody the dep. var.). I have some problems in understanding this step.
>  Could someone help me? How would you transtale it in stata language? I
mean, the first step is easy (-xtreg- with -fe- option), but then how should
I save the results of the fixed effects? And, finally: do you think the
solution he proposes is correct?

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