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Re: st: 2-way Fixed Effects model


From   Lucas <lucaselastic@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: 2-way Fixed Effects model
Date   Tue, 4 Sep 2012 17:19:50 -0700

Austin,

Thanks for your note.  I know I can do this for a one-way OLS fixed
effects model with the -noconstant- option. However, in a two-way
fixed effects model this should produce a dummy variable.  That's what
I expect with the reg command.  Am I mistaken?  Also, does the iv2reg
prevent the dummy variable trap?

Sam

On Tue, Sep 4, 2012 at 10:13 AM, Austin Nichols <austinnichols@gmail.com> wrote:
> Lucas <lucaselastic@gmail.com> :
> Just use -regress- e.g.
>   reg y x* i.company 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
> [ http://www.stata.com/meeting/boston10/boston10_baum.pdf ]
> 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 <lucaselastic@gmail.com> 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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