{smcl} {* *! version 1.0 15July2015}{...} {* *! version 1.1 17July2018}{...} {* *! version 2.0 16April2019}{...} {* *! Author: Volker Ludwig} {vieweralsosee "[XT] xtset" "help xtset"}{...} {vieweralsosee "[XT] xtreg" "help xtreg"}{...} {hline} {title:Title} {p 8 16 2} {cmd:xtfeis} {hline 2} User-written ado to estimate linear Fixed-Effects model with Individual-specific Slopes (FEIS) {p_end} {title:Syntax} {p 8 16 2} {cmd:xtfeis} {depvar} {indepvars} {ifin} [{cmd:,}] [{cmd:slope(}{it:slopevars}{cmd:)}] [{cmd:noconstant}] [{cmd:cluster(}{it:clustvar}{cmd:)}] [{cmd:addsp(}{it:stub1}{cmd:)}] [{cmd:sp}] [{cmd:transformed(}{it:stub2}{cmd:)}] {title:Description} {pstd} {cmd:xtfeis} estimates linear Fixed-Effects models with Individual-Specific Slopes (Wooldridge 2010, pp. 374-381). You need to declare the current data set to be panel data before using this command, see help {helpb xtset}. Estimation requires at least J+1 observations per unit where J is the number of variables with individual-specific slopes (including usually a constant). {cmd:xtfeis} automatically selects only those units from the current data set with at least J+1 observations. {title:Options} {dlgtab:Options} {phang} {opt slope(slopevars)} specifies the names of variables that interact with time-constant individual heterogeneity, i.e. variables with individual-specific slopes. Often, these variables are some function of time to allow for heterogeneous growth. By default, individual-specific constants are included as {it:slopevar}. Specify {opt noconstant} to omit them. {pmore} If {opt slope()} is not specified, the model collapses to the standard linear Fixed-Effects model, see help {helpb xtreg}. {phang} {opt noconstant} requests estimation of a model with individual-specific slopes only (i.e., individual-specific constants are omitted). {phang} {opt cluster(clustvar)} requests panel-robust standard errors. Panel-robust standard errors are robust to arbitrary forms of serial correlation within groups formed by {it:clustvar} as well as heteroscedasticity across groups. {phang} {opt sp} shows estimates of the Average Partial Effects (APE) for the specified {it:slopevars}. {phang} {opt addsp(stub1)} adds variables carrying estimates of individual-specific slope parameters (by default, including a constant) to the current data set. The variables get the names of the specified {it:slopevars} prefixed by {it:stub1}. Specifying option {opt addsp()} requires option {opt sp}. {phang} {opt transformed(stub2)} requests within-transformed variables are added to the current data set. Added variables are named as the untransformed variables prefixed by {it:stub2}. {title:Examples} {cmd:. webuse nlswork} Estimate standard Fixed-Effects model with panel-robust standard errors {cmd:. xtfeis ln_wage msp tenure ttl_exp year, cluster(idcode)} Estimate Fixed-Effects model with Individual-specific Slope for total work experience {cmd:. xtfeis ln_wage msp tenure year, slope(ttl_exp) cluster(idcode)} Estimate Fixed-Effects model with Individual-specific Slope, add transformed variables to current data set {cmd:. xtfeis ln_wage msp tenure year, slope(ttl_exp) cluster(idcode) transformed(t_)} {title:References} Wooldridge, J. (2010). Econometrics of Cross Section and Panel Data, Cambridge: MIT Press, 2nd edition. {title:Author} Volker Ludwig Technische Universität Kaiserslautern ludwig@sowi.uni-kl.de {title:Citation} Please cite this software as follows: Ludwig, V. (2019). XTFEIS: Stata module to estimate linear Fixed-Effects model with Individual-specific Slopes (FEIS). https://EconPapers.repec.org/RePEc:boc:bocode:s458045