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st: how to get slopes by clusters in a linear regression


From   László Sándor <sandorl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: how to get slopes by clusters in a linear regression
Date   Tue, 25 Aug 2009 11:19:56 -0400

Dear Fellow Statalisters,

I want to extend a fixed-effects-type model to allow for different
coefficients on a variable (actually a treatment dummy) by each
cluster I have. The richness of my data would allow for that. However,
I did not find a way to do it in Stata that would report (and collect)
the coefficients themselves. -xtmixed- doesn't seem to do so. I would
like to restrict the coefficients on controls to be equal across
clusters, so estimation by cluster is not a solution either.

If there were a way that could collect the slopes to a single new
variable (with the same value for observations in the same cluster,
naturally), that would be the best. It would be great if I did not
need to introduce all the 1438 cluster-indicator variables and
interactions myself, and collect the coefficients.

Thank you for any guidance in advance!

Laszlo
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