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Re: st: Year effects on panel data

From   Jeremy Fox <[email protected]>
To   [email protected]
Subject   Re: st: Year effects on panel data
Date   Mon, 28 Apr 2003 01:34:31 -0700

On Sunday, April 27, 2003, at 11:33  PM, statalist-digest wrote:

have panel data and would like to estimate
Y[it] = a + bX[it] + cu[i] + dv[t] + e[it]
xtreg includes the fixed group effects but not the fixed time
effect. How can I include the time effect as well? Is the only way to do
so to include dummies for each year? This seems unnecessarily burdensome,
and I'm sure I'm missing something obvious. Thanks very much.
You have to make the indicator variables up yourself. Try xi or tab time, generate().

The basic problem here is that using within transformations to sweep out indicator variables gets really messy algebraicly if the number of sets of indicator variables exceeds one. There is a paper by Peter Davis in the Journal of Econometrics (2002?) which goes over the messy linear algebra required.

Sorry, Jeremy

Jeremy T. Fox
[email protected]

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