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st: RE: xtreg check for outliers


From   "Jacobs, David" <[email protected]>
To   "'[email protected]'" <[email protected]>
Subject   st: RE: xtreg check for outliers
Date   Wed, 8 Aug 2012 13:40:35 +0000

An easier way would be to create the case dummies using i.your-case-id-variable and use regress.  

Then you will have access to all of the regression diagnostics in Stata.  Stata's regression is quick and there's no reason (subject to matrix constraints limited by your machine's memory) why -regress- could not handle quite large numbers of explanatory variables created by the addition of many case dummy variables.  The standard errors will be slightly off, but the point estimates will be the same as those provided by dedicated fixed effects estimators.

Dave Jacobs

-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Dalhia
Sent: Wednesday, August 08, 2012 7:05 AM
To: [email protected]
Subject: st: xtreg check for outliers

Hello, 

How do I check for outliers when using xtreg, fe? One solution I thought of was to demean each variable for each panel, and then rerun using regress, and then use the cook's d, dfits, avplot etc. 
to identify outliers. Is this a reasonable solution? Is there a different/better way to do this?

Thanks
Dalhia
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