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On Wed, Mar 14, 2012 at 3:30 PM, Katharina Michaelowa
<katja.michaelowa@pw.uzh.ch> wrote:
> Is there an easy way in Stata to include the relevant errors into a
> regression that uses the estimates from some other regression as dependent
> variables?
>
> In my specific case, I have estimated a fixed-effects regression (in a
> country-year panel setting). In a second stage, I would like to see to what
> extent the country fixed effects are explained by time-invariant country
> level variables, with a particular interest in the R2.
> The intention is to show that one can safely use a random effects model
> rather than a fixed effects model in the first place, once these variables
> are taken into account (since they explain a very high share of the
> variation in the fixed effects - at least that's what I believe). Of course,
> to show that, standard errors should be correct and I am not sure how to
> implement this in Stata.
>
> Can you help?
> Thank you very much in advance!
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