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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 22:16:22 +0100

of course!
many thanks for your great answer Scott!!

Best,
JL

On 4 December 2013 19:29, Scott Merryman <scott.merryman@gmail.com> wrote:
> Yes.
>
> Here is an attempt:
>
> Regression with dummies:
> y_it = a_i + x_it*b + e
> a_i = y_it - x_it*b + e
> Calculate the average
> Sum_t Sum_i a_i/(T_i*n) = Sum_t Sum_i y_it/(T_i*n) - Sum_t Sum_i
> x_it/(T_i*n)  + Sum_t Sum_i e/(T_i*n)
> T_i* a_i/(T_i*n) = y2bar - x2bar
> xtreg,fe:
> (y_it - ybar_i - y2bar) = a  + (x_it - xbar_i + x2bar)*b + e
> a = (y_it - ybar_i - y2bar)- (x_it - xbar_i + x2bar)*b - e
> Sum_t Sum_i a = Sum_t Sum_i [(y_it - ybar_i - y2bar)- (x_it - xbar_i +
> x2bar)*b - e]
> Since
> Sum_t Sum_i y_it = y2bar
> Sum_t Sum_i  ybar_i = y2bar
> Simplifies
> a*T*n = y2bar*T*n - x2bar*T*n
> a = y2bar - x2bar = Sum_t Sum_i a_i/(T_i*n)
>
>
>
> On Wed, Dec 4, 2013 at 1:07 AM, jean-luc morin-chesnel
> <jeanluc.morinchesnel@gmail.com> wrote:
>> 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
>>
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