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st: Areg, absorb vs. xtreg, fe


From   Katherine Meckel <katherine.h.meckel@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Areg, absorb vs. xtreg, fe
Date   Sat, 3 Mar 2012 19:43:12 -0500

Hello,

I've seen in the archives that the difference between -areg, absorb-
and -xtreg, fe- has been visited before, but I didn't see answer to
the following:

there are several ways to obtain the OLS estimator in a fixed effects
model--does anyone know which models AREG and XTREG use?  Is it least
squares dummy variables (LSDV) or a mean-differenced model, e.g.?

I am also wondering, relatedly, if someone can explain why the -areg-
help file says the following:
areg is designed for datasets with many groups, but not a number of
groups that increases with the sample size.

The reason I ask is because there are different finite sample
adjustments for standard errors in fixed effects models depending on
whether you are using LSDV or mean-differencing and I don't think
XTREG uses any sample adjustment in their standard errors.

Thanks very much for your help, Katherine

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