----- Original Message -----
From: "RonDorsey" <[email protected]>
> Dear Statalist(ers)
>
> Can you put me right on something re: fixed effects on panel data?
>
> I've always thought (probably wrongly) that running fixed effects (xtreg,
> fe) is the same as running OLS (including group dummies) on the same
model.
>
> If I run both separately, I do get the same results except that:
>
> 1. dummy coefficients from OLS are not the same as the fixed effects ui
> from xtpred
This is because you have to add in the constant from the xtreg, fe to the
predicted ui values to get the individual fixed effects.
Example:
. use "C:\Stata\auto.dta", clear
(1978 Automobile Data)
. qui tab for, gen(dummy)
. reg mpg price dummy1 dummy2, nocon nohead
----------------------------------------------------------------------------
--
mpg | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
price | -.000959 .0001815 -5.28
.000 -.001321 -.000597
dummy1 | 25.65058 1.271581 20.17 0.000 23.11512
28.18605
dummy2 | 30.89586 1.514173 20.40 0.000 27.87668
33.91503
----------------------------------------------------------------------------
--
. qui xtreg mpg price, i(foreign) fe
. predict con , u
. replace con = con+_b[_cons]
(74 real changes made)
. tab con
u[foreign] | Freq. Percent Cum.
------------+-----------------------------------
25.65059 | 52 70.27 70.27
30.89585 | 22 29.73 100.00
------------+-----------------------------------
Total | 74 100.00
You might want to take a look at the Stata FAQ "How can there be an
intercept in the fixed-effects model estimated by xtreg, fe?"
(http://www.stata.com/support/faqs/stat/xtreg2.html)
Since you mentioned xtpred, are you using Stata version 5?
Scott
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