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st: re: fixed effects model

From   Christopher F Baum <[email protected]>
To   [email protected]
Subject   st: re: fixed effects model
Date   Wed, 04 Dec 2002 06:02:10 -0500

Dear Listers

     Can i run the following panel regression with fixed effect ?

     y(i,t)=constant+ w(i)' * alpha + x(i,t)'*beta+u(i,t)

     where w(i) is a vector of individaul specific but time invariant
     x(i,t) is individual & time variant
     u(i,t) is the residual term
No; you cannot estimate a unit-specific constant term in a model that already has one. Each individual's constant term in the equation above is uniquely identified by W alpha. Just use pooled OLS (the standard regress command).


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