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Re: st: variance-covariance matrix for fixed effects


From   Austin Nichols <[email protected]>
To   [email protected]
Subject   Re: st: variance-covariance matrix for fixed effects
Date   Tue, 2 Aug 2011 15:52:25 -0400

Mesfin A <[email protected]>
Just include dummies in the regression to get the VCE for FE, or
ssc install fese
for just the SE for the FE.

On Tue, Aug 2, 2011 at 3:47 PM, Mesfin A <[email protected]> wrote:
> Dear Stata Listers,
>
> I'm wondering if there is a way to compute and display the variance-covariance
>
> matrix for the fixed effects in the simple panel data model .
>
> Yit=Xʼβ + αi+εit
>
> estimated either as fixed effects effects or random effects.
>
> I know that we can obtain the var-cov matrix for the regressors but I would
> appreciate if anybody can give me an idea as to how to obtain the var-cov
> matrix for the αi's.
>
> Thank you.
>
> Mesfin A

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