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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: AW: Question on xtreg and the FE option
Date   Fri, 9 Nov 2012 10:29:35 -0000

Justina,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Justina Fischer
> Sent: 08 November 2012 22:08
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: AW: Question on xtreg and the FE option
> 
> it depends also on the Staa version you use
> 
> In my case -xtreg- requires -xtset-, and -xtset- requires both unit and time to
> be set

Which Stata version would that be?  I just checked back from version 12 through version 9, and

xtset panelvar

was legal for all.

I am pretty sure the basic point applies through version 8 as well: xtreg supported and supports estimation using datasets designated as panels without a time dimension.

--Mark

> 
> @Andrew: no, -xtreg, fe- does not automatically generate time fixed effects.
> -fe- relates to the unit fixed effects.
> 
> Justina
> -------- Original-Nachricht --------
> > Datum: Thu, 08 Nov 2012 20:57:04 +0100
> > Von: Klaus Pforr <kpforr@googlemail.com>
> > An: statalist@hsphsun2.harvard.edu
> > Betreff: Re: st: AW: Question on xtreg and the FE option
> 
> > 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" <kpforr@googlemail.com>
> > > To: statalist@hsphsun2.harvard.edu
> > > 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: klaus.pforr@gesis.org
> > > __________________________________
> > >
> > >
> > > -----Ursprüngliche Nachricht-----
> > > Von: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Justina
> > Fischer
> > > Gesendet: Donnerstag, 8. November 2012 11:27
> > > An: statalist@hsphsun2.harvard.edu
> > > 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 <njcoxstata@gmail.com>
> > >> An: statalist@hsphsun2.harvard.edu
> > >> 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
> > >> <JAVFischer@gmx.de>
> > >> 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: klaus.pforr@gesis.org
> > __________________________________
> >
> > *
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> > *   http://www.ats.ucla.edu/stat/stata/
> *
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