Michael Blasnik replied to Yvonne Capstick:
The -egen group- suggestion will provide for fully interacted effects,
but
I think that just the main effects are wanted (unless I am guessing wrong
about the somewhat hazy intention). The only way I know of doing this is
to allow areg or xtref, fe to absorb one of the variables and to add
dummies for the other (e.g., using xi).
Like Michael, I too interpreted Yvonne to want two seperate fixed effects
inserted into the -i()- option for her -xtreg, fe- model, which you can't
have. Austin Nichols' rather neat suggestion
. egen g=group(state ind)
. areg y x, absorb(g)
does what I should have figured out: generate a single fixed effect
variable combining both sets of information. But isn't there a problem
with this: namely, the codes for this (in effect) interaction term are not
readily interpretable?
<snip>
