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help for fese
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Standard errors for fixed effects

Syntax

      fese varlist [if exp] [in range] [, s(string) oonly absorb(varname)
                other areg_options ]


Description

fese implements a fixed-effects regression using areg and saves the estimated
fixed effects and their standard errors as new variables on the data.  Note
that areg produces identical results to xtreg with the fe option except when
the cluster-robust VCE is requested, in which case areg uses a different
degrees of freedom adjustment, which is more appropriate for the present case.
areg is always equivalent to running regress with an exhaustive set of
indicator variables for panels.

These standard errors are not usually computed in a fixed-effects regression,
but we may need them. One example takes student test scores as the dependent
variable and teacher assignments as the explanatory variables, as in Rothstein
(2007), where the fixed effects measure the assumed additive effect of a
teacher on her students' test scores. The variance of estimated fixed effects
captures both the variance of true fixed effects and the variance of the
estimator: the variance of true fixed effects (i.e. how disparate are teachers'
apparent impacts on students' scores) can be estimated as the observed variance
in estimated fixed effects less the best estimate for the variance of the
estimator, which is the mean of squared standard errors.

The estimated fixed effects, and OIM and heteroskedasticity- and cluster-robust
standard errors (See vce_option and [U] 20.15 Obtaining robust variance
estimates) are saved by default, as new variables which vary only across
panels.  See Nichols and Schaffer (2007) for more on cluster-robust variance
estimators.  Note, however, that the asymptotic justification for a
cluster-robust variance estimator requires that the number of clusters m
approaches infinity, which implies we cannot get consistent estimates of the
fixed effects or the variance of the estimates, though if the number of
observations per panel also increases without bound, the properties of the
estimator may be acceptable. In the example above, it is implausible that the
number of students per teacher is increasing without bound, but with strongly
balanced clusters of 25 or so students per class, the behavior of the estimator
may rest on how close 25 is to infinity for our purposes.

Options

s(string) specifies the stub to prefix to new variable names.

oonly requests that only OIM SEs be calculated (speeding up calculations).

absorb(varname) specifies the panel variable over which to calculate fixed
    effects.  When this option is not specified, fese reads the panel variable
    from the data characteristic iis (often set by either xtset or tsset).

Remarks and saved results

fese leaves the results from areg in e() and saves matrices of standard errors:

Matrices
   ov            OIM SE vector
   rv            heteroskedasticity-robust SE vector
   cv            cluster-robust SE vector

Examples
-------------------------------------------------------------------------------
        ssc install fese, replace
        webuse grunfeld, clear
        fese inv mval kst, s(fe_)
        g b=.
        g se=.
        g hrse=.
        g crse=.
        qui tab com, g(d_)
        qui reg inv mval kst d_*
        qui forv i=1/10 {
        replace b=_b[d_`i']
        replace se=_se[d_`i']
        }
        qui reg inv mval kst d_*, r
        qui forv i=1/10 {
        replace hrse=_se[d_`i']
        }
        qui reg inv mval kst d_*, cl(com)
        qui forv i=1/10 {
        replace crse=_se[d_`i']
        }
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        webuse nlswork, clear
        fese ln age, s(o) oonly
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References

Nichols, Austin and Mark E. Schaffer. 2007. ``Cluster-robust and GLS
    Corrections." Unpublished Working Paper.

Rothstein, Jesse. 2007. ``Do Value-Added Models Add Value? Tracking, Fixed
    Effects, and Causal Inference." Working Paper, Princeton University.

Citation of fese

fese is not an official Stata command. It is a free contribution to the
research community, like a paper. Please cite it as such:

    Nichols, Austin. 2008.  fese: Stata module calculating standard errors
        for fixed effects.  http://ideas.repec.org/c/boc/bocode/s456914.html

Authors

    Austin Nichols
    Urban Institute
    austinnichols@gmail.com


Also see

 Manual:  [U] 20 Estimation and post-estimation commands, esp. [U] 20.15
              Obtaining robust variance estimates
          [R] areg
          [XT] xtreg

 On-line: help for areg, xtreg, vce_option