Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: pooled regression vs fixed effects


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: st: pooled regression vs fixed effects
Date   Tue, 07 Feb 2012 13:48:59 -0500

At 01:42 PM 2/7/2012, Sami Alameen wrote:
I wonder shouldn't -areg- and -xtreg- give the same results:

use grunfeld
areg invest kstock mvalue, absorb(company)
xtreg invest kstock mvalue, fe

or with time dummies

xi: areg invest kstock mvalue i.year, absorb(company)
xi: xtreg invest kstock mvalue i.year, fe

I could be wrong, but what I remember from and old FAQ that the two
commands only differ in R2 calculation.

The -areg- help says

"areg fits a linear regression absorbing one categorical factor. areg is designed for datasets with many groups, but not a number of groups that increases with the sample size. See the xtreg, fe command in [XT] xtreg for an estimator that handles the case in which the number of groups increases with the sample size."



-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu
WWW:    http://www.nd.edu/~rwilliam

*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index