Hi everyone,
I ran into some problem when trying to estimate a panel data from
three ways (worker, firm, year). I find in statalist previously this
question has been posted here:
http://www.stata.com/statalist/archive/2004-07/msg00229.html
And there's one reply:
http://www.stata.com/statalist/archive/2004-07/msg00230.html
I find the four methods given in the reply are all two-way fixed effects.
What I find is that a paper seems to talk about my question "Practical
fixed–effects estimation methods for the three–way error–components
model" in Stata Journal Volume 6 Number 4: pp. 461-481. But I have to
wait for several days to get this paper since library at my university
does not have this journal.
So, I was wondering if anyone here could give me some hints about my questions:
(1) If the equation to estimate is: Yijt = ai + bj + ct + BXijt + eijt
Can I demean the Y and X in year dimension, add dummy variables for
firm1 till firm j , and then use xtreg,fe? That is:
---xtreg demeaned_Y demeaned_X firm1-j ,fe--
(2) If the above way is fine, then, how to deal with if we have many
workers, many firms and many years, let's say, 5000 workers, 1000
firms, and 50 years? It'll be inconvenient to add any dummy varaibles.
(3) Besides what I mention above, is there any other discussion or
resource about this three-way fixed effects using Stata ?
Thanks your your help! Really appreciate it.
Mandy
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