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Re: st: degrees of freedom correction: Frisch Waugh

From   Maarten buis <[email protected]>
To   [email protected]
Subject   Re: st: degrees of freedom correction: Frisch Waugh
Date   Fri, 22 Oct 2010 13:37:50 +0100 (BST)

--- On Fri, 22/10/10, statalist wrote:
> I am estimating a linear model with a
> large number of fixed effects  (e.g. worker/firm,
> student/teacher, etc...). 
> One way to do this would be to use a two-way fixed effects
> estimator (e.g. a2reg, felsdvreg, etc...), but I am not
> really interested in the estimates of the fixed effects per
> se. 
> An alternative would be to estimate the model in stages,
> using a wage equation as an example:

I would not do this in stages, I would just look at creative 
ways of handeling my id variables. 

Simplest case occurs when workers are nested in firms and 
students nested in teachers. In that case I would just use 
the worker or student id, as these would also take care of 
the firm or school fixed effects.

More complicated would be the case where students face 
different teacher or workers change firms. In that case I
would create a new id variable that gives a unique number
to each worker/firm combination or student/teacher 
combination. You can easily make such a variable with 
-egen new_id = group(worker firm)-.

After that I would just use -xtreg- with my id variable of

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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