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From |
Christopher F Baum <[email protected]> |

To |
[email protected] |

Subject |
st: Re: xi question |

Date |
Mon, 7 Jun 2004 11:26:17 +0100 |

On Jun 5, 2004, at 7:33 AM, Andrea wrote:

It sounds very fishy to include i.indiv in a fixed effects regression model (if that is indeed what you are doing: xtreg, fe) as those effects are already being incorporated in the model (by demeaning). For the general equivalency of regression with dummies vs the fixed effects transformation, see any good econometrics text (e.g. Greene).This may be a basic question, but what I (still!) find puzzling is that using the commands: (a) xi: regress depvar varlist indivdummies timedummies and (b) xi: xtreg depvar varlist i.indiv i.time I get the same fixed effects (which may be somewhat logical) but also the same estimated coefficients for varlist, which I don't find that logical... I'd expected to have different effects (at least on varlist), given that the means are subtracted.

Kit

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