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Re: st: AW: Question on xtreg and the FE option


From   Klaus Pforr <[email protected]>
To   [email protected]
Subject   Re: st: AW: Question on xtreg and the FE option
Date   Thu, 08 Nov 2012 20:57:04 +0100

For your problem, a good solution is -- as clivelist recommended -- to use your xtreg, fe with time dummies.

A simple example would be:

webuse nlswork, clear
xtset idcode
xtreg ln_wage age ttl_exp i.year, fe

this is a candidate of a simple answer to your presumably simple question.

best

Klaus

Am 08.11.2012 16:24, schrieb Andrew Nicholson:
Ok got what looks like a couple mixed responses.  Heres my xtset

xtset CountyNum QuarterYear

Where CountyNum goes from 1 - 105 identifying all 105 individual counties in Kansas.  QuarterYear goes from 2001Q1 to 2008Q4 for each county.

So for this xtset, using the fe option it will automatically generate County Level Fixed Effects and Quarter time fixed effects?  Or possibly just the County?

Andrew Nicholson

----- Original Message -----
From: "Klaus Pforr" <[email protected]>
To: [email protected]
Sent: Thursday, November 8, 2012 4:37:50 AM
Subject: AW: st: AW: Question on xtreg and the FE option

Linear fixed-effects-models can be understood as models on the deviances of the means, where the fixed-effect is the individual heterogeneity in the mean. Very often you are not interested in the deviance of a specific observation of a unit across time. All observation within a unit treated equally, i.e. they are symmetric with respect to time. Time becomes important, when you have/want to model correlation across time in the error term (help xtreg##correlation). I thing all of these options need the additional time specification in the xtset, but not the xtreg itself.

Klaus
__________________________________

Klaus Pforr
GESIS -- Leibniz Institut für Sozialwissenschaft
B2,1
Postfach 122155
D - 68072 Mannheim
Tel: +49 621 1246 298
Fax: +49 621 1246 100
E-Mail: [email protected]
__________________________________


-----Ursprüngliche Nachricht-----
Von: [email protected] [mailto:[email protected]] Im Auftrag von Justina Fischer
Gesendet: Donnerstag, 8. November 2012 11:27
An: [email protected]
Betreff: Re: st: AW: Question on xtreg and the FE option

How can stata use xtreg, fe without knowing the time dimension?
-------- Original-Nachricht --------
Datum: Thu, 8 Nov 2012 10:21:07 +0000
Von: Nick Cox <[email protected]>
An: [email protected]
Betreff: Re: st: AW: Question on xtreg and the FE option
This is not correct. There is no rule that a time variable _must_ be
specified.

On Thu, Nov 8, 2012 at 10:11 AM, Justina Fischer <[email protected]>
wrote:
Hi Andrew

when using xtset you have to specify both observational unit and
time
dimension at the same time.
E.g. xtset country year

or xtset id timeline


etc.


Best

Justina
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--
__________________________________
Klaus Pforr
GESIS -- Leibniz Institut für Sozialwissenschaft
B2,1
Postfach 122155
D - 68072 Mannheim
Tel: +49 621 1246 298
Fax: +49 621 1246 100
E-Mail: [email protected]
__________________________________

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


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