Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Two-Way Fixed Effect Estimation


From   Asgar Khademvatani <akhademv@ucalgary.ca>
To   statalist@hsphsun2.harvard.edu
Subject   st: Two-Way Fixed Effect Estimation
Date   Tue, 12 Aug 2008 23:48:17 -0600

Dear Friends,

I am using STATA 9.1. I would like to run a two-way fixed effect(FE) model using a panel data set constructed from 4 sectors and 43 years, 1958 to 2000. I already know Stata lacks a command to automatically fit two-way fixed effect model. But, I know that if the number of periods is reasonably small, we can fit a tow-way FE model by creating a set of time indicator variables and including all but one in the regression. Since, the number of time periods in my case is large , 43 years vs. 4 industrial sector, then if I follow this method , then I will lose degree of freedom and so following such method can not be correct. Having said this, I got two questions as follows;

(1) Since I have a panel data set constructed from 43 years and 4 sector, is the two-way FE model a feasible and appropriate method of estimation for such specific panel data set? If yes, then (2) I am wondering whether is there any other alternative way to run two-way FE model in Stata considering my panel data set?

I look forward to hearing from you.

Thank you All

Regards,
Asgar Khademvatani
University of Calgary, Canada
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/




© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index