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From | john sanders <desmochada@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: reg "partial" option equivalent to ivreg2 |
Date | Wed, 27 Oct 2010 11:08:21 -0400 |
exogenous variables before estimating the full model. This is especially useful when you have many non-nested fixed effects. If you are not interested in the coefficients of these fixed effects per se, then there is not much sense in estimating them. Think of a model with worker, firm, and industry*year FE for which areg could knock out workers (or perhaps worker*firm), but industry*year still creates a lot of extra parameters to be estimated. The "partial" option is simply an application of the Frisch Waugh Lowell theorem, but it helpfully uses a "degrees of freedom" correction to make the standard errors equivalent to estimating the model in a single step. Is there a user written command for a linear regression that has this partial option? I guess I could pull the code out of ivreg2.ado, but I thought I would ask here first. -John Sanders * * 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/