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Re: st: pooled regression vs fixed effects

From   Richard Williams <>
Subject   Re: st: pooled regression vs fixed effects
Date   Tue, 07 Feb 2012 13:48:59 -0500

At 01:42 PM 2/7/2012, Sami Alameen wrote:
I wonder shouldn't -areg- and -xtreg- give the same results:

use grunfeld
areg invest kstock mvalue, absorb(company)
xtreg invest kstock mvalue, fe

or with time dummies

xi: areg invest kstock mvalue i.year, absorb(company)
xi: xtreg invest kstock mvalue i.year, fe

I could be wrong, but what I remember from and old FAQ that the two
commands only differ in R2 calculation.

The -areg- help says

"areg fits a linear regression absorbing one categorical factor. areg is designed for datasets with many groups, but not a number of groups that increases with the sample size. See the xtreg, fe command in [XT] xtreg for an estimator that handles the case in which the number of groups increases with the sample size."

Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
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EMAIL:  Richard.A.Williams.5@ND.Edu

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