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" The standard errors are exactly the same in 2) and 3) (as it should be)
but slightly different fron 1). I understand that there is some difference in the degrees of freedom adjustment, but I am not sure..."
Manual [R], p. 81 says: " Although the point estimates produced by areg and xtreg, fe are the same, the estimated VCEs
differ when cluster() is specified because the commands make different assumptions about whether
the number of groups increases with the sample size."
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected] [mailto:[email protected]] Im Auftrag von sara borelli
Gesendet: Freitag, 23. Oktober 2009 12:09
An: [email protected]
Betreff: st: fe questions
Dear All,
I have a couple of questions. I have found something similar in older posts but I have not clear the answer. Thank you in advance for any help
I want to estimate the following model by fixed effects
Yjt = b*Xjt + Ujt
Yjt = birth rate in county j in year t
Xjt county level covariates
there are 615 counties and 8 years
Question 1
I estimated the model by using
1) xtreg Yjt Xjt, fe i(county)cluster(county)
2) xi: reg Yjt Xjt i.county, cluster(county)
3) areg Yjt Xjt, absorb(county) cluster(county)
The coefficients estimates are the same in the 3 specifications.
The standard errors are exactly the same in 2) and 3) (as it should be)
but slightly different fron 1). I understand that there is some difference in the degrees of freedom adjustment, but I am not sure...
Question 2
I re-estimated the model by weighting each observation by the county population in each year, POPjt
1) xtreg Yjt Xjt [aweight=POPjt], fe i(county)cluster(county)
2) xi: reg Yjt Xjt i.county [aweight=POPjt], cluster(county)
3) areg Yjt Xjt [aweight=POPjt], absorb(county) cluster(county)
agai, 2) and 3) give exactly the same result, but 1) cannot be estimated because STATA says that weights must be constant whithin panel.
I do not understand this and why xtreg cannot estimate the weighted regression while the dummy variable regression allows weights
thank you for any help
Sara
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