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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Fixed Effects GLS |

Date |
Tue, 12 Apr 2011 11:28:47 +0100 |

Andrea, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Andrea Morescalchi > Sent: Tuesday, April 12, 2011 9:57 AM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: Fixed Effects GLS > > Dear Ada and Maysa, > I was trying too to estimate the FEGLS as presented in > Wooldridge (2002), but with only one error component. > > Anyway, I cannot understand properly the first line of > Ada's response: "Fixed Effects model is a kind of GLS > model. Use the basic FE commands and you will be fine." > I red carefully the Chapter 10 in Wooldridge, but I cannot > see among the - xtreg, FE - options available which is > that for doing FEGLS. In particular, the options available > for vce are: conventional, robust, cluster, bootstrap, or > jackknife. > FEGLS implies a particular structure for the (T-1)*(T-1) > covariance matrix for the errors, i.e. the matrix is > estimated after a standard FE in the first step where this > matrix is an identity matrix multiplicated for the > T-constant variance parameter. > Among FE Stata options the most proper to do FEGLS would > seem: "vce(conventional), the default, uses the > conventionally derived variance estimator for generalized > least squares regression". This line is a bit strange to > me since it seems to imply that the standard FE Stata > regression is actually a FEGLS! It is indeed, and not just in Stata. The FE estimator is, by definition, a GLS estimator. I am sure this is discussed in Jeff Wooldridge's book somewhere (there's a 2010 edition out, by the way), but I don't have it handy and can't direct you to the right chapter/page. Another place you might look is Arellano's 2003 book, "Panel Data Econometrics". In chapter 2 (I think) he shows that the FE estimator is the GLS estimator obtained after applying the first-differencing transformation. --Mark > I computed the FE and the > FEGLS separately in Matlab and it turns out that the > "conventional" Stata FE is identical to that with error > v-c matrix equal to an identity matrix (multiplicated for > sigma_u). But which is the option which tells Stata to > estimate the v-c matrix in the first step? > > Thanks in advance > Andrea > > On Tue, 12 Apr 2011 00:09:11 +0000 > "Ada Ma" <heu034@googlemail.com> wrote: > >Fixed Effects model is a kind of GLS model. Use the basic > >FE commands and you will be fine. > > > > There are user written commands for two way FEs but I > >can't remember the commands' names, sorry! There are two > >of them and they r both featured in the Stata Journal, > >one of the authors for one command is Upward. HTH. > > > > > > Sent using BlackBerry(r) > > > > -----Original Message----- > >From: May Ster <mayfrank@gmail.com> > > Sender: owner-statalist@hsphsun2.harvard.edu > > Date: Mon, 11 Apr 2011 23:10:06 > > To: <statalist@hsphsun2.harvard.edu> > > Reply-To: statalist@hsphsun2.harvard.eduSubject: st: > >Fixed Effects GLS > > > > Dear Statalist, > > > > I tried reading Woolridge (2002), Chapter 10 after he > >mentioned > > choosing between Random effects model and Fixed effects > >model, he does > > mentioned 'Fixed Effects GLS". > > > > I'm not sure how does this apply to STATA command if i > >want to use > > 'Fixed Effects GLS". > > > > If my model is a two-way fixed effects model, Basically, > >is the 'Fixed > > Effects GLS" can be written like this (i've checked for > >serial > > correlation in error terms) ; > > > > xi: xtgls var1 var2 var3 i.year , panel(hetero) > >corr(psar1) > > > > > > Please help. > > > > Thank you very much in advance > > > > Maysa > > * > > * 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/ > > > > * > > * 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/ > > * > * 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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/

**Follow-Ups**:**Re: st: Fixed Effects GLS***From:*"Andrea Morescalchi" <morescalchi@ec.unipi.it>

**References**:**st: Fixed Effects GLS***From:*May Ster <mayfrank@gmail.com>

**Re: st: Fixed Effects GLS***From:*"Ada Ma" <heu034@googlemail.com>

**Re: st: Fixed Effects GLS***From:*"Andrea Morescalchi" <morescalchi@ec.unipi.it>

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