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st: individual fixed effects and interaction of the same with reg2hdfe


From   natasha agarwal <agarwana2@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: individual fixed effects and interaction of the same with reg2hdfe
Date   Mon, 28 Jan 2013 14:40:46 +0000

Dear All,

I am try to estimate a model where I need to introduce country,
 product, year fixed effects, along country * time, product * time.

I try estimating the model with reg2hdfe by giving the following command.

reg2hdfe X Y country product time, id1(country*time) id2(product*time)

However, when I estimate the same, I only get estimates of Y and the
 dummies on country, product and time is omitted.

Can someone explain me why ?

I thought that one would need to include individual dummies too when
 one includes the interaction of the same ?

reg2hdfe is a user written program by •Paulo Guimaraes

Best,
 Dr. Agarwal

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