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st: two way model and -xtoverid

From   Paulo Regis <[email protected]>
To   [email protected]
Subject   st: two way model and -xtoverid
Date   Sat, 17 Sep 2011 17:29:34 +0800

Dear Statalisteners,

I am working with panel data and the distinction between fixed
effects, random effects. I am working with -xtreg and -xtoverid (the
second command perform a test similar to hausman but valid when you
use robust SE). When working with the one-way model there is no
problem. I can do

tsset ivat tvar
xtreg Y X1 X2, robust re

Then I can compare the result and use the hausman alike test to decide
between FE and RE. However, I have problems when I work with the
two-way model. If I want to have time there too:

xtreg Y X1 X2 i.tvar, robust re

where "tvar" is a variable with the year of the observation (t=1, ,T).
The -xtreg estimate implies FE for years but RE for individuals. The
command -xtoverid does not work when I want to test whether I should
use FE or RE. If I use dummy variables, I can go around he problem:

xtreg Y X1 X2 t2-tT, robust re

where t2-tT are the dummy variables for T-1 years.

However, I raise the issue here to ask if anyone knows if there is any
good reason -xtoverid does not want to perform the test.

Kind Regards

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