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Estimates linear models with two fixed effects

        a2reg depvar indepvars, individual(varname) unit(varname) [
                           indeffect(name) uniteffect(name) xb(name)
                           resid(name) ]


Description

a2reg estimates two-way fixed effects.  individual indexes the first fixed
effect, and unit indexes the second fixed effect. The dependent variable is
depvar and the covariates are in indepvars. At least one covariate is
mandatory.

Identification constraints

The identification constraints for the fixed effects are set by convention such
that the sum of individual effects is equal to zero and such that the last unit
fixed effect is zero.

Output

The program displays conventional output regression, along with Fisher tests
for the significance of fixed effects. However the computation of confidence
intervals is not computationally feasible, since it would require the inversion
of the variance-covariance matrix. Therefore confidence intervals are not
printed.

Options

depvar is the dependent variable. No missing observation is allowed.

indepvars lists explanatory variables. No missing observation is allowed.

individual(varname) is the identifier for the first fixed effect.

unit(varname) is the identifier for the second fixed effect.

indeffect(name) is the name of the output variable for the first fixed effect. 

uniteffect(name) is the name of the output variable for the second fixed effect
> .

xb(name) is the name of the output variable for the part predicted by the covar
> iates.

resid(varname) is the name of the output variable for the resid.


Examples

a2reg y x1 x2 , individual(personid) unit(firmid) indeffect(personeffect)

Author

Amine Ouazad, PhD Candidate of the Paris School of Economics, and Research
Associate, London School of Economics.

Webpage http://personal.lse.ac.uk/ouazad/

Email a.ouazad@lse.ac.uk

Acknowledgement

This command started as a port of the FORTRAN cg program that was written by
Robert Creecy for Unix platforms. It has now improved it in many ways,
providing Fisher tests, interfacing with STATA and commands such as bootstrap.

Please put the following reference in your paper.

Amine Ouazad, Program for the Estimation of Two-Way Fixed Effects, available at
>  
http://personal.lse.ac.uk/ouazad/, 2007.

Also see

a2group (if installed)