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re: RE: st: areg Vs fe

From   Christopher Baum <[email protected]>
To   "[email protected]" <[email protected]>
Subject   re: RE: st: areg Vs fe
Date   Tue, 13 Mar 2012 08:58:24 -0400

Richard wrote

I don't think it is a matter or running a test; it is a matter of 
which is appropriate given the nature of your problem. The help for 
areg says "areg is designed for datasets with many groups, but not a 
number of groups that increases with the sample size."

Good advice indeed. Note that in

webuse grunfeld,clear
reg invest mvalue kstock
xtreg invest mvalue kstock,fe
areg invest mvalue kstock, absorb(company)

The three sets of point and interval estimates are identical, as they are estimating exactly the same model.


Kit Baum   |   Boston College Economics & DIW Berlin   |
                             An Introduction to Stata Programming  |
  An Introduction to Modern Econometrics Using Stata  |

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