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Re: st: constant in -xtreg (yes, again!)


From   jean-luc morin-chesnel <jeanluc.morinchesnel@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: constant in -xtreg (yes, again!)
Date   Wed, 4 Dec 2013 08:07:29 +0100

Oh Scott thank you very much!
Of course, it is the weighted average! ;-)

So I am right to say that the proof that the constant is equal to the
average fixed effects is not shown in the faq?!

Many thanks again

On 3 December 2013 23:17, Scott Merryman <scott.merryman@gmail.com> wrote:
> On Tue, Dec 3, 2013 at 2:48 PM, jean-luc morin-chesnel
> <jeanluc.morinchesnel@gmail.com> wrote:
>
>>
>> Next, by looking at the example I tried to recover the constant
>> reported in -xtreg from the regression with dummy variables. Am I
>> correct to compute
>>
>> 7.545455 (constant of the fe estimator) =( 4 + (4-2.5) + (4+4.333) +
>> (4+10.333))/4
>>                                                           7.0415
>>                                                           (the average
>> of the fixed effects in the regression dummy specification)
>> ?
>>
>
>  You need to account for the unequal size of the groups.
>
>
> clear
> input    group    x    y
>  1    0   -5
>  1    8   23
>  1   17   44
>  2   10   29
>  2   16   26
>  3    4   17
>  3   11   17
>  3    5   31
>  4   18   50
>  4    5   26
>  4    2   17
> end
>
> list
> xtreg y x, fe  i(group)
> regress y x i.group
> disp (3*_b[_cons] +2*(_b[_cons]+_b[2.group])+
> 3*(_b[_cons]+_b[3.group]) +3*(_b[_cons]+_b[4.group]))/11
>
> Scott
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