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From |
"Martin Wang" <zwang215@gmail.com> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: Re: st: two-way fixed effects |

Date |
Wed, 25 Jun 2008 17:07:19 +0800 |

Dear all, Thank you for your suggestions. I tried based on your advise and find xtreg and xi: reg i. are the same, in terms of estimate and SE but may differ in R squred and others. Regarding the firm-year interaction dummy, I thought that over again, and I think indeed it is capturing a little different fixed effect, allowing each firm-year combination has an a different intercept and no relation between different intercepts. And also, if there is no variation within a firm-year combination, then the model cannot be estimated. I tried a2reg but it seems weird..Please correct me if I'm wrong. Thanks! Martin ======= 2008-06-25 05:02:52 Original Message£º======= >First, you probably should estimate with -xtreg- particularly if you >are using robust or cluster to correct your standard errors. This is >the designated fixed-effects procedure in Stata and it uses more >appropriate cluster or robust corrections for the standard >errors. Note that you will still need to include the time-specific >dummies as -xtreg- has no option to supply them automatically. > >Second, if you believe that yearly (or any time based) shocks (such >as say national shifts in in the business cycle) that affect all of >the relationships are present, you should include time-specific dummy >variables. But note that such models will be less efficient due to >the increase in the number of parameters that must be estimated. The >larger t-statistic you mention probably stems from greater >multicollinearity in a two- rather than a one-way fixed-effects model. > >Dave Jacobs > >At 03:29 PM 6/24/2008, you wrote: >>Dear Statalist, >> >>I have an old question, which command should I use for two-way fixed >>effects? For example if I want to control both year and firm fixed >>effects. I find two methods as follows: >>1) >>. egen dummy = group(firm year) >>. xi: reg quantity price i.dummy >> >>and 2) >>. xi: reg quantity price i.firm i.year >> >>I find the two methods gave the same estimation of coefficient, but >>method 2) seems to yield a large t-stat. Could someone please advise >>which one should I use? >> >>Many thanks! >> >>Martin >> >> >> >>* >>* For searches and help try: >>* http://www.stata.com/support/faqs/res/findit.html >>* http://www.stata.com/support/statalist/faq >>* http://www.ats.ucla.edu/stat/stata/ > > >* >* For searches and help try: >* http://www.stata.com/support/faqs/res/findit.html >* http://www.stata.com/support/statalist/faq >* http://www.ats.ucla.edu/stat/stata/ = = = = = = = = = = = = = = = = = = = = * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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