st: Two-Way Fixed Effect Estimation

[Asgar Khademvatani <akhademv@ucalgary.ca>]

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
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