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| From | "Perdikaki, Olga" <operdikaki@mays.tamu.edu> |
| To | "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |
| Subject | st: extracting fixed effects from xtabond2 |
| Date | Mon, 10 Jan 2011 17:10:03 +0000 |
Dear Statalisters, I am estimating a system GMM for dynamic panel data using xtabond2. It is not clear to me how I can extract the coefficient estimates of the individual fixed effects (u_i). I actually tried to obtain the estimated values of the error component (e_it) and predicted values of the dependent variable (yhat_it) and subtract their sum from the dependent variable (y_it). However, the command predict does not support the option e after xtabond2 so I could not get the estimated values of the error component e_it. Predict supports the option residuals but it is ambiguous whether the result corresponds to the "true residual" (e_it) or the "combined residual" (i.e., e_it+u_i). Any assistance would be greatly appreciated. Thank you, Olga * * 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/