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st: Two Way Fixed Effect on Unbalanced Panel Data


From   "Ploy T." <ploy.tham@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Two Way Fixed Effect on Unbalanced Panel Data
Date   Sat, 17 Mar 2012 12:12:02 +0000

Hi Statalist


I have questions regarding two-way fixed effect on large unbalanced
panel. Here is my model:


ln Xijt = β0 + aij + qt + β1 lnGDPit + β2 lnGDPjt + β3 lnPOPit + β4
lnPOPjt + β5  FTAijt + εijt



My LHS variable is bilateral export from country i to country j. The
explanatory variables are GDP and population of both countries, and a
dummy variable that takes value 1 if both countries are member of an
FTA. I would like to run the model for
1.) one way fixed country effect
2.) one way fixed time effect and
3.) two way fixed effect.

I have unbalanced panel data for approximately 2,200 country pairs
with 6 time periods. I'm a new STATA user. So, as far as I know, there
is no problem on running unbalanced panel data on one-way fixed effect
(correct me if I'm wromg). But there's no direct method on estimating
two-way fixed effects on large unbalanced panel data. Is there any way
or commands that help me get through such problem?

Moreover, if I change my model such that:


ln Xijt = β0 + aij +  β1 lnGDPit + β2 lnGDPjt + β3 lnPOPit + β4
lnPOPjt + β5 FTAijt - lnPit - lnPjt+ εijt



That is, country-fixed effect and country-and-time fixed effects
(estimating aij together with lnPit and lnPjt) are estimated together.
Is there any method to get estimation of such model?

Thanks very much in advance.
Ploy T.

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