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st: Programming the fixed effect transformation in Mata with an unbalanced panel data


From   Matteo Pazzona <M.Pazzona@bath.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Programming the fixed effect transformation in Mata with an unbalanced panel data
Date   Mon, 20 May 2013 17:16:15 +0100

Dear Statalist,

I have an unbalanced panel data and I need to program the fixed effect transformation with MATA. The code I am trying to program is the usual ( let's call the matrix for all the panel M):

M = (I(N) #  (I(T) - 1/T(ee'))

where N stands for unit observations ,T the total number of years, e = (1,1,...,1) is 1xT vector of ones and # is the kronecker product. Given that I have an unbalanced panel data, I have a varying number of years. I am able to program it with balanced panel data but not with unbalanced data. I have checked on the FAQs but I could not find a clear answer to that. Secondly, after having computed the fixed effect transformation I need to delete the last observation for each group. So, if Y is the vector of independent variables , then I want to delete the Tth observation ( last observation) for each group of the matrix MY . Again, since the number of years is not fixed I am not able how to do that.
If you could help me out on this too, it would be very helpful.

Thanks in advance!

Best,

Matteo

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