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st: Panel mixed-effects models

From   "Downey, Patrick" <[email protected]>
To   <[email protected]>
Subject   st: Panel mixed-effects models
Date   Thu, 8 Mar 2012 12:12:25 -0500


I am trying to estimate a panel model of the form:
Y_it = a_i + a_t + B_i * X_it + e_it

I would like to use fixed effects for both of the 'a' coefficients because
I believe that the individual-effects are correlated with Y (so the
assumptions for random effects are not met). That would be a simple two-way
fixed effects model. However, I would like to use random effects for the B
coefficient. Thus, I want to assume B_i = B + n_i, where n_i is a normally
distributed random variable.

I cannot figure out how to estimate this model in Stata. It seems that
xtmixed should be able to handle it, but with large N or large T, I think
there are complications. I couldn't find examples (for xtmixed or xtrc)
that use fixed effects for individual- or time- effects but random slope
coefficients, although I think this is possible.

Perhaps I am misunderstanding something. Any guidance or clarification
would be greatly appreciated.


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