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st: reg "partial" option equivalent to ivreg2


From   john sanders <desmochada@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: reg "partial" option equivalent to ivreg2
Date   Wed, 27 Oct 2010 11:08:21 -0400

exogenous variables before estimating the full model. This is
especially useful when you have many non-nested fixed effects. If you
are not interested in the coefficients of these fixed effects per se,
then there is not much sense in estimating them. Think of a model with
worker, firm, and industry*year FE for which areg could knock out
workers (or perhaps worker*firm), but industry*year still creates a
lot of extra parameters to be estimated.

The "partial" option is simply an application of the Frisch Waugh
Lowell theorem, but it helpfully uses a "degrees of freedom"
correction to make the standard errors equivalent to estimating the
model in a single step.

Is there a user written command for a linear regression that has this
partial option? I guess I could pull the code out of ivreg2.ado, but I
thought I would ask here first.

-John Sanders
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