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st: RE: time invariant vars and fixed effects


From   <Zuzana.Fungacova@bof.fi>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: time invariant vars and fixed effects
Date   Mon, 5 May 2008 12:27:05 +0300

Stefano,

I have similar problem and got an advice to estimate it as in the paper you have mentioned. However, I have not found any paper that uses this methodology, could you please send me the link to the paper?
thank you,

Zuzana

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stefano Costalli
Sent: 2. toukokuuta 2008 19:43
To: statalist@hsphsun2.harvard.edu
Subject: st: time invariant vars and fixed effects

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?
Many thanks, 

Stefano
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