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st: Are XTFEVD Estimates and WITHIN Followed by BETWEEN Estimates the Same?


From   Victor Waters <vvwaters@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Are XTFEVD Estimates and WITHIN Followed by BETWEEN Estimates the Same?
Date   Fri, 20 Feb 2009 15:44:21 -0800

Hello Statlisters,

When I run the XTFEVD and WITHIN Followed by BETWEEN Xtregs, I get the
same estimates but
different standard errors. The standard errors of XTFEVD are lower.

As a check, I ran the three stages of regressions in XTFEVD manually
(i.e., without XTFEVD ADO)
still the same conclusions as above.

Is this to be expected? I did not find the answer in the original
paper describing XTFEVD.

Thanks in advance,

Victor
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