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


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: Literature Reference for Stata's Fixed-Effects Transformation
Date   Tue, 24 Aug 2010 13:19:17 +0200

<> 


The rationale behind Stata`s approach is set out here:
http://www.stata.com/support/faqs/stat/xtreg2.html




HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Conor Hughes
Gesendet: Dienstag, 24. August 2010 13:02
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: Literature Reference for Stata's Fixed-Effects
Transformation

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 <s.vanbaal@arcor.de>
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

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