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Re: st: 2-way Fixed Effects model

From   Austin Nichols <>
Subject   Re: st: 2-way Fixed Effects model
Date   Tue, 4 Sep 2012 13:13:54 -0400

Lucas <> :
Just use -regress- e.g.
  reg y x* i.county
but you will need many obs per company-cluster pair to trust those coefs.

Also see -ivreg2- on SSC for one implementation of 2-way cluster-robust SE
[ ]
and compare SEs on x vars (not SE on fixed effects)
using OIM, het-robust, and cluster-robust SEs.

On Tue, Sep 4, 2012 at 1:02 PM, Lucas <> wrote:
> Dear Statalisters,
> I thought this was a simple issue, estimating a 2-way fixed effects
> model, but, alas, I cannot figure it out. I see several stata and
> user-written commands, but I am not certain any of them will work in
> my situation.
> My data is that I have dozens of companies crossed with dozens of
> jurisdictions (e.g., counties).  For substantive reasons I need to
> obtain the coefficients for each company and for each county (which
> makes areg not quite what I need).
> FYI, there is no time element here, so lags, AR processes, and such
> are not relevant.
> Any guidance anyone can offer is greatly appreciated.
> Sam
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