st: egen and computing fixed effects

["Tim R. Sass" <tsass@coss.fsu.edu>]

Statalisters -

I am trying to "manually" compute a fixed-effects estimator by taking the 
differences from means of all variables and then running reg on the 
demeaned data.  You may ask why in the world I would want to do that, but 
that's for another post.

I have a panel of student-level data over three years.  I demean the data 
as follows:

bysort student:egen nrtrgain_m = mean(nrtrgain);
bysort student:egen charter_m = mean(charter);
bysort student:egen nschools_m = mean(nschools);
bysort student:egen chgschl_m = mean(chgschl);

gen d2_nrtrgain = nrtrgain - nrtrgain_m;
gen d2_charter = charter - charter_m;
gen d2_nschools = nschools - nschools_m;
gen d2_chgschl = chgschl - chgschl_m;

I then run the following models:

areg  nrtrgain charter nschools chgschl,
                 absorb(student) ;

reg   d2_nrtrgain d2_charter d2_nschools d2_chgschl ;

xtdata  nrtrgain charter nschools chgschl, fe clear;
reg  nrtrgain charter nschools chgschl;


The first and third models yield the same estimated coefficients (except 
for the constant, of course), but the coefficients for the second model 
(using reg on the demeaned variables) yields different results.  However, 
when I eliminate all observations with missing values for any of the 
variables in the model, all three models yield identical estimated slope 
coefficients.

I'm guessing the problem has something to do with how egen computes the 
mean for each student when there are missing observations.  I have read 
through the manual and searched the archives, but still can't figure out 
what is going on.  Any help would be greatly appreciated.

Tim


Tim R. Sass
Professor                               Voice:   (850)644-7087
Department of Economics         Fax:      (850)644-4535
Florida State University                E-mail:   tsass@coss.fsu.edu
Tallahassee, FL  32306-2180     Internet: http://garnet.acns.fsu.edu/~tsass


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