Hello,
I am estimating a dynamic panel model using -xtabond2- and want to obtain the standard error of the residuals. I know that I can see this as -e(sig2)- after typing -ereturn list-. However, I have a doubt: Is this the standard error of the combined residual $ u_it = v_i + e_it $ i.e. including the individual effect, or is it net of the fixed effect? I need the latter.
I tried to check by calculating fitted values myself from the -xtabond2- output, without including the fixed effect since I do not know how to find that. The result was the same as the fitted values generated by -xtab2_p-. So I suppose that fixed effects are included in the residuals returned by -xtab2_p name,res-. How can I get the residuals excluding the fixed effects?
Any answer would be of great help,
thanks in advance,
Markus
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