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A review of Stata commands for fixed-effects estimation in normal linear models

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Listed:
  • Daniel F. McCaffrey

    (RAND Corporation)

  • J. R. Lockwood

    (RAND Corporation)

  • Kata Mihaly

    (RAND Corporation)

  • Tim R. Sass

    (Georgia State University)

Abstract

Availability of large multilevel longitudinal databases in various fields of research, including labor economics (with workers and firms observed over time) and education (with students, teachers, and schools observed over time), has increased the application of models with one level or multiple levels of fixed effects (for example, teacher and student effects). There has been a corresponding rapid development of Stata commands designed for fitting these types of models. The commands parameterize the fixed-effects portions of models differently. In cases where estimates of the fixed-effects parameters are of interest, it is critical to understand precisely what parameters are being estimated by different commands. In this article, we catalog the estimates of reported fixed effects provided by different commands for several canonical cases of both one-level and two-level fixed-effects models. We also discuss issues regarding computational efficiency and standarderror estimation. Copyright 2012 by StataCorp LP.

Suggested Citation

  • Daniel F. McCaffrey & J. R. Lockwood & Kata Mihaly & Tim R. Sass, 2012. "A review of Stata commands for fixed-effects estimation in normal linear models," Stata Journal, StataCorp LP, vol. 12(3), pages 406-432, September.
    • Handle: RePEc:tsj:stataj:v:12:y:2012:i:3:p:406-432
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    References listed on IDEAS

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