Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Literature Reference for Stata's Fixed-Effects Transformation


From   Conor Hughes <[email protected]>
To   [email protected]
Subject   Re: st: Literature Reference for Stata's Fixed-Effects Transformation
Date   Tue, 24 Aug 2010 06:02:16 -0500

Hi Sebastian,
I'm not positive, as I'm currently traveling and don't have my copy
with me, but I believe that this is addressed in chapter 10 of Stock
and Watson's Introduction to Econometrics textbook.  Again, though,
I'm not positive.

- Conor

On Mon, Aug 23, 2010 at 11:06 AM, Sebastian van Baal <[email protected]> wrote:
>
> Dear Stata Users:
>
> When Stata performs a fixed-effects estimation with the command "xtreg, fe",
> it transforms the variables by subtracting the individual mean and adding
> the grand mean back in. This way, a model constant is obtained. There can be
> problems with the estimation of the constant, but I consider it useful.
>
> This within-transformation is explained in the Stata manual and in some
> Stata-specific books, for example in Cameron and Trivedi's
> "Microeconometrics Using Stata".
>
> However, I am looking for a reference outside the Stata-specific literature.
> It does not matter whether it is a textbook or an article or something
> similar. Any help would be greatly appreciated.
>
> Sincerely
> Sebastian van Baal
> Cologne, Germany
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/



--
Conor Hughes
Mathematics and Economics
University of Chicago 2011

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index