Re: st: WG: xtreg command and two-way fixed o random effect model

[David Jacobs <jacobs.184@sociology.osu.edu>]

To get two-way fixed effects in official Stata, 
one must add the year dummies.  This is easily 
done in Stata 11 with an term like: -i.year- 
assuming that "year' is the variable name for your
time variable.  In Stata 8, a separate command 
like: -tabulate year, gen(yrdum)- will provide 
permanent dummies for time with "yrdum" being the 
stub name for each of the separate dummy 
variables for each of the periods in your data set.

Although the econometrically sophisticated 
probably can provide work-arrounds, it is not 
possible to automatically include random effects 
for time in the -xtreg- routines.  Others, 
however, may know of user-written programs that do this.

Both year fixed-effects and random-effects can 
are readily provided in the econometrics package 
called EViews, and probably (although I can't 
remeber for sure) in another econometrics package called Limdep.

David Jacobs


At 07:38 AM 5/9/2010, you wrote:
> Dear all,
>
> I am working with a balanced panel data set and want to analyze the group
> and time effects.
>
> Is there any possibility to use the xtreg command in combination with a
> two-way fixed or/and random effect model ?   Maybe at a more updated Stata
> Version ? I am currently working  with the Stata 8.0 version?..
>
> Background to my question:
> At the moment I apply the following regression model and would like to cross
> check these results with the ones obtained from the fixed effect model. (As
> is it possible in the case of a one-way model)
>
>  xi: reg y i.idfirm i.idyear x1 x2 x3
>
> Thanks for your inputs, which are highly appreciated.
>
> Kerstin
>
>
>
>
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