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st: xtreg , re: if var dropped, whence coef. estimates from within and between for error estimates in RE?‏


From   redacted user <redacted>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtreg , re: if var dropped, whence coef. estimates from within and between for error estimates in RE?‏
Date   Tue, 28 Jul 2009 19:23:04 -0700

Hello, All,

The XT manual [Stata 10, p. 411] indicates that for xtreg, re, the idiosyncratic error component, sigma_e, is estimated from the residuals of a within estimate.

I would like to know whether I can safely assume that when time invariant variables are present (and would be dropped if using xtreg, fe directly to get within estimates), that xtreg, re uses the estimates (for the above-mentioned idiosyncratic error component) from a within regression that simply drops such variables. A similar question applies to estimating sigma^2_u and dropped variables in a between regression (the estimates of which xtreg, re uses to compute sigma^2_u).

Thank you.

redacted
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