stata没有相关命令直接作双效应模型。参见Baum的An introduction to modern econometrics using stata 224页，有这么一段话。
Stata lacks a command to automatically fit two-way FE models. If the number of periods is reasonably small, we can fit a tow-way FE model by creating a set of time indicator variables and including all but one in the regression. the joint test that all the coefficients on those indicator variables are zero will be a test of the significance of time FE.

不会吧，很容易实现啊
假定时间是year
直接输入
xi: y x i.year,fe r
就是一个双向的面板固定效应回归啊，同理随机效应也一样


quote]kollenfree 发表于 2009-7-25 09:29
stata没有相关命令直接作双效应模型。参见Baum的An introduction to modern econometrics using stata 224页，有这么一段话。
Stata lacks a command to automatically fit two-way FE models. If the number of periods is reasonably small, we can fit a tow-way FE model by creating a set of time indicator variables and including all but one in the regression. the joint test that all the coefficients on those indicator variables are zero will be a test of the significance of time FE.