*! version 1.0 15July2015

*! version 1.1 17July2018

*! version 2.0 16April2019

*! Author: Volker Ludwig

Title

xtfeis -- User-written ado to estimate linear Fixed-Effects model with Individual-specific Slopes (FEIS)

Syntax

xtfeis depvar indepvars [if] [in] [,] [slope(slopevars)] [noconstant] [cluster(clustvar)] [addsp(stub1)] [sp] [transformed(stub2)]

Description

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 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).
xtfeis automatically selects only those units from the current data set with at least J+1 observations.

Options

Options

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 slopevar. Specify noconstant to omit them.

If slope() is not specified, the model collapses to the standard linear Fixed-Effects model, see help xtreg.

noconstant requests estimation of a model with individual-specific slopes only (i.e., individual-specific constants are omitted).

cluster(clustvar) requests panel-robust standard errors.
Panel-robust standard errors are robust to arbitrary forms of serial correlation within groups
formed by clustvar as well as heteroscedasticity across groups.

sp shows estimates of the Average Partial Effects (APE) for the specified slopevars.

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 slopevars prefixed by stub1.
Specifying option addsp() requires option sp.

transformed(stub2) requests within-transformed variables are added to the current data set.
Added variables are named as the untransformed variables prefixed by stub2.

Examples

. webuse nlswork

Estimate standard Fixed-Effects model with panel-robust standard errors
. xtfeis ln_wage msp tenure ttl_exp year, cluster(idcode)

Estimate Fixed-Effects model with Individual-specific Slope for total work experience
. 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
. xtfeis ln_wage msp tenure year, slope(ttl_exp) cluster(idcode) transformed(t_)

References

Wooldridge, J. (2010). Econometrics of Cross Section and Panel Data, Cambridge: MIT Press, 2nd edition.

Author

Volker Ludwig
Technische Universität Kaiserslautern
ludwig@sowi.uni-kl.de

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