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| From | "Martin Weiss" <martin.weiss1@gmx.de> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | AW: st: Literature Reference for Stata's Fixed-Effects Transformation |
| Date | Tue, 24 Aug 2010 13:19:17 +0200 |
<> The rationale behind Stata`s approach is set out here: http://www.stata.com/support/faqs/stat/xtreg2.html HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Conor Hughes Gesendet: Dienstag, 24. August 2010 13:02 An: statalist@hsphsun2.harvard.edu Betreff: Re: st: Literature Reference for Stata's Fixed-Effects Transformation Hi Sebastian, I'm not positive, as I'm currently traveling and don't have my copy with me, but I believe that this is addressed in chapter 10 of Stock and Watson's Introduction to Econometrics textbook. Again, though, I'm not positive. - Conor On Mon, Aug 23, 2010 at 11:06 AM, Sebastian van Baal <s.vanbaal@arcor.de> wrote: > > Dear Stata Users: > > When Stata performs a fixed-effects estimation with the command "xtreg, fe", > it transforms the variables by subtracting the individual mean and adding > the grand mean back in. This way, a model constant is obtained. There can be > problems with the estimation of the constant, but I consider it useful. > > This within-transformation is explained in the Stata manual and in some > Stata-specific books, for example in Cameron and Trivedi's > "Microeconometrics Using Stata". > > However, I am looking for a reference outside the Stata-specific literature. > It does not matter whether it is a textbook or an article or something > similar. Any help would be greatly appreciated. > > Sincerely > Sebastian van Baal > Cologne, Germany > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ -- Conor Hughes Mathematics and Economics University of Chicago 2011 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/