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Re: st: xtmixed to estimate the effect of id and time t

From   Maarten Buis <>
Subject   Re: st: xtmixed to estimate the effect of id and time t
Date   Mon, 12 Sep 2011 14:13:58 +0200

On Mon, Sep 12, 2011 at 2:07 PM, Song Nhac wrote:
> I have an unbalanced data set with id is firms' id and time t, I would
> like to measure the effect of unobservable part- but the random effect
> command just assumes that time-invariance and predict results based on
> the firms' id. So if I want to measure the effect of both id and time,
> I could use the command xtmixed? it will allow the effect vary by time
> or not?
> My command is:
> xtmixed y x1 x2 || id: || t:

That is not right as t is not nested in id. What you seem to want is a
so called crossed effects model. In the manual there is an entry on
how to estimate such a model.

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
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