Estimating firm time fixed effects with little variation

[Julia Briggs]

Hello everyone,

I want to estimate a model in which individual wages are regressed on controls for human capital (mainly education) and a firm time fixed effect.
My dataset containts around 450 firms over 6 waves with around 2 or 3 workers per firm. Ommiting constant, coefficients, etc. it looks like this:

wage = Human capital + firm-time fixed effect + e

In a next step, I want to use the estimated firm time fixed effect as the measure for wages.

I know that since I have little variation in my human capital variables and the number of workers per firm is low, my estimates for the human capital controls will be somehow unprecise.

But what about the estimated fixed effect? Can anyone tell me whether these estimated will be affected as well?

Thanks a lot!

[Carlo Lazzaro]

Julia:
I fail to get what you mean by -firm time fixed effect-. Do you mean workers' tenure? Else?
As as aside, your model probably suffers from endogeneity, in that personal ability (lurking behind residuals) usually affects both education attainments as well as individual wages.

[Julia Briggs]

Hello Carlo,

what I mean is an interaction of firm fixed effects and time fixed effects.

Unfortunately, my dataset is really complicated (I have a firm, but not a worker panel (workers are not uniquely identified)) and I cannot control for unobserved worker charactersitics such as ability, so I think I have to accept that my results are somehow biased....

My goal is to purge wages from observed differences in worker characteristics by estimating the regression above with the firm fixed effect allowed to vary over time and using these fixed effect estimates as wage measure in the following analysis.

[Carlo Lazzaro]

Julia:
interacting time with panelid can be computationally prohibitive and is probably plagued with collinearity.
You can think about using -i.timevar- as a predictor instead.
Using -fe- specification in your panel data regression (-see hausman-) can help you out in getting rid of endogeneity related to time-invariant predictors.
If workers are actually nested within firms, you can consider a particular setup of -re- specification, such as -mixed-.

[Julia Briggs]

Thanks for your help, Carlo!

The strategy of interacting time with panelid is drawn from: Fafchamps, Marcel, and Måns Söderbom. "Wages and labor management in African manufacturing." Journal of Human Resources 41.2 (2006): 356-379.

I didn't want to use i.timevar as a predictor because I want to use the estimated fixed effect as the dependent variable in the next steps of my analysis. If I use i.timevar as a predictor and don't interact time and panel FE, then my fixed effect (which will then only be the panelid fixed effect) does not vary over time anymore, which strongly restricts my following analysis.


I thought of using a setup using the mixed command as a robustness check (yes, workers are nested within firms).
However, for my main specification, my plan was to somehow create a wage measure which is purged off observable charactersitics of workers (and hence worker productivity), so that only the effect of firm characteristics "remain" in the wage measure.

[Carlo Lazzaro]

Julia:
what follows is the totally uninformative output I've got from Stata after trying to replicate what you may be after:

. use "C:\Users\user\Desktop\Juliaq.dta"
(after tweaking the National Longitudinal Survey.  Young Women 14-26 years of age in 1968)

. keep if _n<=450
(2,250 observations deleted)

. bysort idcode: keep if year<=73
(267 observations deleted)


. xtreg ln_wage i.idcode##i.year, fe
note: 2.idcode omitted because of collinearity
note: 3.idcode omitted because of collinearity
note: 4.idcode omitted because of collinearity
note: 5.idcode omitted because of collinearity
note: 6.idcode omitted because of collinearity
note: 7.idcode omitted because of collinearity
note: 9.idcode omitted because of collinearity
note: 10.idcode omitted because of collinearity
note: 13.idcode omitted because of collinearity
note: 16.idcode omitted because of collinearity
note: 17.idcode omitted because of collinearity
note: 19.idcode omitted because of collinearity
note: 20.idcode omitted because of collinearity
note: 21.idcode omitted because of collinearity
note: 22.idcode omitted because of collinearity
note: 24.idcode omitted because of collinearity
note: 25.idcode omitted because of collinearity
note: 26.idcode omitted because of collinearity
note: 27.idcode omitted because of collinearity
note: 29.idcode omitted because of collinearity
note: 30.idcode omitted because of collinearity
note: 33.idcode omitted because of collinearity
note: 36.idcode omitted because of collinearity
note: 37.idcode omitted because of collinearity
note: 38.idcode omitted because of collinearity
note: 40.idcode omitted because of collinearity
note: 41.idcode omitted because of collinearity
note: 45.idcode omitted because of collinearity
note: 49.idcode omitted because of collinearity
note: 51.idcode omitted because of collinearity
note: 53.idcode omitted because of collinearity
note: 55.idcode omitted because of collinearity
note: 56.idcode omitted because of collinearity
note: 57.idcode omitted because of collinearity
note: 59.idcode omitted because of collinearity
note: 60.idcode omitted because of collinearity
note: 61.idcode omitted because of collinearity
note: 62.idcode omitted because of collinearity
note: 63.idcode omitted because of collinearity
note: 64.idcode omitted because of collinearity
note: 65.idcode omitted because of collinearity
note: 66.idcode omitted because of collinearity
note: 67.idcode omitted because of collinearity
note: 68.idcode omitted because of collinearity
note: 69.idcode omitted because of collinearity
note: 71.idcode omitted because of collinearity
note: 72.idcode omitted because of collinearity
note: 1b.idcode#68b.year identifies no observations in the sample
note: 1b.idcode#69.year identifies no observations in the sample
note: 2.idcode#68b.year identifies no observations in the sample
note: 2.idcode#69.year identifies no observations in the sample
note: 2.idcode#70.year identifies no observations in the sample
note: 2.idcode#73.year omitted because of collinearity
note: 4.idcode#68b.year identifies no observations in the sample
note: 4.idcode#69.year identifies no observations in the sample
note: 4.idcode#73.year omitted because of collinearity
note: 9.idcode#68b.year identifies no observations in the sample
note: 9.idcode#69.year identifies no observations in the sample
note: 9.idcode#73.year omitted because of collinearity
note: 10.idcode#68b.year identifies no observations in the sample
note: 10.idcode#72.year omitted because of collinearity
note: 10.idcode#73.year identifies no observations in the sample
note: 13.idcode#68b.year identifies no observations in the sample
note: 13.idcode#69.year identifies no observations in the sample
note: 13.idcode#72.year identifies no observations in the sample
note: 13.idcode#73.year omitted because of collinearity
note: 16.idcode#68b.year identifies no observations in the sample
note: 16.idcode#69.year identifies no observations in the sample
note: 16.idcode#73.year omitted because of collinearity
note: 17.idcode#68b.year identifies no observations in the sample
note: 17.idcode#69.year identifies no observations in the sample
note: 17.idcode#73.year omitted because of collinearity
note: 19.idcode#68b.year identifies no observations in the sample
note: 19.idcode#69.year identifies no observations in the sample
note: 19.idcode#73.year omitted because of collinearity
note: 20.idcode#68b.year identifies no observations in the sample
note: 20.idcode#69.year identifies no observations in the sample
note: 20.idcode#73.year omitted because of collinearity
note: 21.idcode#68b.year identifies no observations in the sample
note: 21.idcode#69.year identifies no observations in the sample
note: 21.idcode#71.year identifies no observations in the sample
note: 21.idcode#73.year omitted because of collinearity
note: 22.idcode#68b.year identifies no observations in the sample
note: 22.idcode#73.year omitted because of collinearity
note: 25.idcode#72.year identifies no observations in the sample
note: 25.idcode#73.year identifies no observations in the sample
note: 26.idcode#72.year identifies no observations in the sample
note: 26.idcode#73.year identifies no observations in the sample
note: 27.idcode#72.year identifies no observations in the sample
note: 27.idcode#73.year identifies no observations in the sample
note: 29.idcode#68b.year identifies no observations in the sample
note: 29.idcode#72.year omitted because of collinearity
note: 29.idcode#73.year identifies no observations in the sample
note: 30.idcode#68b.year identifies no observations in the sample
note: 30.idcode#69.year identifies no observations in the sample
note: 30.idcode#73.year omitted because of collinearity
note: 33.idcode#69.year identifies no observations in the sample
note: 33.idcode#70.year identifies no observations in the sample
note: 33.idcode#71.year identifies no observations in the sample
note: 33.idcode#72.year identifies no observations in the sample
note: 33.idcode#73.year identifies no observations in the sample
note: 36.idcode#68b.year identifies no observations in the sample
note: 36.idcode#69.year identifies no observations in the sample
note: 36.idcode#73.year omitted because of collinearity
note: 37.idcode#71.year identifies no observations in the sample
note: 37.idcode#72.year identifies no observations in the sample
note: 37.idcode#73.year identifies no observations in the sample
note: 38.idcode#73.year identifies no observations in the sample
note: 40.idcode#68b.year identifies no observations in the sample
note: 40.idcode#69.year identifies no observations in the sample
note: 40.idcode#70.year identifies no observations in the sample
note: 40.idcode#71.year omitted because of collinearity
note: 40.idcode#72.year identifies no observations in the sample
note: 40.idcode#73.year identifies no observations in the sample
note: 45.idcode#68b.year identifies no observations in the sample
note: 45.idcode#69.year identifies no observations in the sample
note: 45.idcode#70.year identifies no observations in the sample
note: 45.idcode#71.year identifies no observations in the sample
note: 45.idcode#73.year omitted because of collinearity
note: 49.idcode#72.year identifies no observations in the sample
note: 49.idcode#73.year identifies no observations in the sample
note: 51.idcode#68b.year identifies no observations in the sample
note: 51.idcode#69.year identifies no observations in the sample
note: 51.idcode#73.year omitted because of collinearity
note: 53.idcode#68b.year identifies no observations in the sample
note: 53.idcode#69.year identifies no observations in the sample
note: 53.idcode#70.year identifies no observations in the sample
note: 53.idcode#71.year identifies no observations in the sample
note: 53.idcode#73.year omitted because of collinearity
note: 56.idcode#69.year identifies no observations in the sample
note: 56.idcode#70.year identifies no observations in the sample
note: 56.idcode#71.year identifies no observations in the sample
note: 56.idcode#72.year identifies no observations in the sample
note: 56.idcode#73.year identifies no observations in the sample
note: 57.idcode#69.year identifies no observations in the sample
note: 57.idcode#72.year identifies no observations in the sample
note: 57.idcode#73.year identifies no observations in the sample
note: 59.idcode#69.year identifies no observations in the sample
note: 59.idcode#70.year identifies no observations in the sample
note: 59.idcode#71.year identifies no observations in the sample
note: 59.idcode#72.year identifies no observations in the sample
note: 60.idcode#68b.year identifies no observations in the sample
note: 60.idcode#69.year identifies no observations in the sample
note: 60.idcode#71.year omitted because of collinearity
note: 60.idcode#72.year identifies no observations in the sample
note: 60.idcode#73.year identifies no observations in the sample
note: 61.idcode#68b.year identifies no observations in the sample
note: 61.idcode#69.year identifies no observations in the sample
note: 61.idcode#70.year identifies no observations in the sample
note: 61.idcode#73.year omitted because of collinearity
note: 62.idcode#72.year identifies no observations in the sample
note: 62.idcode#73.year identifies no observations in the sample
note: 64.idcode#68b.year identifies no observations in the sample
note: 64.idcode#72.year omitted because of collinearity
note: 64.idcode#73.year identifies no observations in the sample
note: 65.idcode#72.year identifies no observations in the sample
note: 66.idcode#71.year identifies no observations in the sample
note: 66.idcode#72.year identifies no observations in the sample
note: 66.idcode#73.year identifies no observations in the sample
note: 67.idcode#68b.year identifies no observations in the sample
note: 67.idcode#69.year identifies no observations in the sample
note: 67.idcode#73.year omitted because of collinearity
note: 68.idcode#70.year identifies no observations in the sample
note: 68.idcode#72.year omitted because of collinearity
note: 68.idcode#73.year identifies no observations in the sample
note: 69.idcode#68b.year identifies no observations in the sample
note: 69.idcode#69.year omitted because of collinearity
note: 69.idcode#73.year omitted because of collinearity
note: 71.idcode#68b.year identifies no observations in the sample
note: 71.idcode#69.year identifies no observations in the sample
note: 71.idcode#70.year identifies no observations in the sample
note: 71.idcode#71.year identifies no observations in the sample
note: 71.idcode#72.year identifies no observations in the sample
note: 71.idcode#73.year omitted because of collinearity
note: 72.idcode#68b.year identifies no observations in the sample
note: 72.idcode#69.year identifies no observations in the sample
note: 72.idcode#70.year identifies no observations in the sample
note: 72.idcode#72.year omitted because of collinearity
note: 72.idcode#73.year identifies no observations in the sample

Fixed-effects (within) regression               Number of obs     =        183
Group variable: idcode                          Number of groups  =         48

R-sq:                                           Obs per group:
     within  = 1.0000                                         min =          1
     between = 0.0207                                         avg =        3.8
     overall = 0.0171                                         max =          6

                                                F(135,0)          =          .
corr(u_i, Xb)  = -0.5869                        Prob > F          =          .

------------------------------------------------------------------------------
     ln_wage |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      idcode |
          2  |          0  (omitted)
          3  |          0  (omitted)
          4  |          0  (omitted)
          5  |          0  (omitted)
          6  |          0  (omitted)
          7  |          0  (omitted)
          9  |          0  (omitted)
         10  |          0  (omitted)
         13  |          0  (omitted)
         16  |          0  (omitted)
         17  |          0  (omitted)
         19  |          0  (omitted)
         20  |          0  (omitted)
         21  |          0  (omitted)
         22  |          0  (omitted)
         24  |          0  (omitted)
         25  |          0  (omitted)
         26  |          0  (omitted)
         27  |          0  (omitted)
         29  |          0  (omitted)
         30  |          0  (omitted)
         33  |          0  (omitted)
         36  |          0  (omitted)
         37  |          0  (omitted)
         38  |          0  (omitted)
         40  |          0  (omitted)
         41  |          0  (omitted)
         45  |          0  (omitted)
         49  |          0  (omitted)
         51  |          0  (omitted)
         53  |          0  (omitted)
         55  |          0  (omitted)
         56  |          0  (omitted)
         57  |          0  (omitted)
         59  |          0  (omitted)
         60  |          0  (omitted)
         61  |          0  (omitted)
         62  |          0  (omitted)
         63  |          0  (omitted)
         64  |          0  (omitted)
         65  |          0  (omitted)
         66  |          0  (omitted)
         67  |          0  (omitted)
         68  |          0  (omitted)
         69  |          0  (omitted)
         71  |          0  (omitted)
         72  |          0  (omitted)
             |
        year |
         69  |  -.0486895          .        .       .            .           .
         70  |   -.201627          .        .       .            .           .
         71  |  -.6242212          .        .       .            .           .
         72  |  -.0628636          .        .       .            .           .
         73  |   .1274319          .        .       .            .           .
             |
 idcode#year |
       1 68  |          0  (empty)
       1 69  |          0  (empty)
       2 68  |          0  (empty)
       2 69  |          0  (empty)
       2 70  |          0  (empty)
       2 71  |   .5621184          .        .       .            .           .
       2 72  |  -.1533899          .        .       .            .           .
       2 73  |          0  (omitted)
       3 69  |   .2576565          .        .       .            .           .
       3 70  |   .1592796          .        .       .            .           .
       3 71  |   .6780795          .        .       .            .           .
       3 72  |   .1765964          .        .       .            .           .
       3 73  |  -.0237263          .        .       .            .           .
       4 68  |          0  (empty)
       4 69  |          0  (empty)
       4 70  |   .3366201          .        .       .            .           .
       4 71  |   .8462924          .        .       .            .           .
       4 72  |   .3232794          .        .       .            .           .
       4 73  |          0  (omitted)
       5 69  |   .2092823          .        .       .            .           .
       5 70  |   .3953921          .        .       .            .           .
       5 71  |   .8556508          .        .       .            .           .
       5 72  |   .4150722          .        .       .            .           .
       5 73  |   .2358871          .        .       .            .           .
       6 69  |   .0063421          .        .       .            .           .
       6 70  |   .1592796          .        .       .            .           .
       6 71  |   .6210612          .        .       .            .           .
       6 72  |   .1484259          .        .       .            .           .
       6 73  |   .1605779          .        .       .            .           .
       7 69  |   .0570571          .        .       .            .           .
       7 70  |   .2590058          .        .       .            .           .
       7 71  |    .636034          .        .       .            .           .
       7 72  |     .03537          .        .       .            .           .
       7 73  |  -.1549255          .        .       .            .           .
       9 68  |          0  (empty)
       9 69  |          0  (empty)
       9 70  |   .0015039          .        .       .            .           .
       9 71  |   .6688845          .        .       .            .           .
       9 72  |    .137746          .        .       .            .           .
       9 73  |          0  (omitted)
      10 68  |          0  (empty)
      10 69  |   .0459198          .        .       .            .           .
      10 70  |   .2987397          .        .       .            .           .
      10 71  |   .8715128          .        .       .            .           .
      10 72  |          0  (omitted)
      10 73  |          0  (empty)
      13 68  |          0  (empty)
      13 69  |          0  (empty)
      13 70  |   .4175835          .        .       .            .           .
      13 71  |   .8417866          .        .       .            .           .
      13 72  |          0  (empty)
      13 73  |          0  (omitted)
      16 68  |          0  (empty)
      16 69  |          0  (empty)
      16 70  |   .2848318          .        .       .            .           .
      16 71  |   .6483105          .        .       .            .           .
      16 72  |   .1141496          .        .       .            .           .
      16 73  |          0  (omitted)
      17 68  |          0  (empty)
      17 69  |          0  (empty)
      17 70  |  -.3180013          .        .       .            .           .
      17 71  |    .059027          .        .       .            .           .
      17 72  |  -.3736122          .        .       .            .           .
      17 73  |          0  (omitted)
      19 68  |          0  (empty)
      19 69  |          0  (empty)
      19 70  |   .5496765          .        .       .            .           .
      19 71  |    .995491          .        .       .            .           .
      19 72  |   .1651596          .        .       .            .           .
      19 73  |          0  (omitted)
      20 68  |          0  (empty)
      20 69  |          0  (empty)
      20 70  |   .2479434          .        .       .            .           .
      20 71  |   .7334229          .        .       .            .           .
      20 72  |   .2076604          .        .       .            .           .
      20 73  |          0  (omitted)
      21 68  |          0  (empty)
      21 69  |          0  (empty)
      21 70  |   .0425308          .        .       .            .           .
      21 71  |          0  (empty)
      21 72  |   .2045577          .        .       .            .           .
      21 73  |          0  (omitted)
      22 68  |          0  (empty)
      22 69  |  -.1950579          .        .       .            .           .
      22 70  |  -.0202805          .        .       .            .           .
      22 71  |   .4730865          .        .       .            .           .
      22 72  |   .1914015          .        .       .            .           .
      22 73  |          0  (omitted)
      24 69  |   .6258775          .        .       .            .           .
      24 70  |   .8294562          .        .       .            .           .
      24 71  |   1.339588          .        .       .            .           .
      24 72  |   .7897185          .        .       .            .           .
      24 73  |   .5391763          .        .       .            .           .
      25 69  |   .1532971          .        .       .            .           .
      25 70  |   .3592707          .        .       .            .           .
      25 71  |   .9066725          .        .       .            .           .
      25 72  |          0  (empty)
      25 73  |          0  (empty)
      26 69  |   .2469786          .        .       .            .           .
      26 70  |   .3102963          .        .       .            .           .
      26 71  |   .8121322          .        .       .            .           .
      26 72  |          0  (empty)
      26 73  |          0  (empty)
      27 69  |   .0471642          .        .       .            .           .
      27 70  |   .3779454          .        .       .            .           .
      27 71  |   .7549738          .        .       .            .           .
      27 72  |          0  (empty)
      27 73  |          0  (empty)
      29 68  |          0  (empty)
      29 69  |   .2439921          .        .       .            .           .
      29 70  |   .1939002          .        .       .            .           .
      29 71  |   .9994129          .        .       .            .           .
      29 72  |          0  (omitted)
      29 73  |          0  (empty)
      30 68  |          0  (empty)
      30 69  |          0  (empty)
      30 70  |   .7469131          .        .       .            .           .
      30 71  |   1.229568          .        .       .            .           .
      30 72  |   .7055553          .        .       .            .           .
      30 73  |          0  (omitted)
      33 69  |          0  (empty)
      33 70  |          0  (empty)
      33 71  |          0  (empty)
      33 72  |          0  (empty)
      33 73  |          0  (empty)
      36 68  |          0  (empty)
      36 69  |          0  (empty)
      36 70  |   .4786555          .        .       .            .           .
      36 71  |   .7318969          .        .       .            .           .
      36 72  |  -.1256672          .        .       .            .           .
      36 73  |          0  (omitted)
      37 69  |   -.070619          .        .       .            .           .
      37 70  |   .0823185          .        .       .            .           .
      37 71  |          0  (empty)
      37 72  |          0  (empty)
      37 73  |          0  (empty)
      38 69  |   .0494523          .        .       .            .           .
      38 70  |   .2023898          .        .       .            .           .
      38 71  |   .3643759          .        .       .            .           .
      38 72  |  -.0921879          .        .       .            .           .
      38 73  |          0  (empty)
      40 68  |          0  (empty)
      40 69  |          0  (empty)
      40 70  |          0  (empty)
      40 71  |          0  (omitted)
      40 72  |          0  (empty)
      40 73  |          0  (empty)
      41 69  |   .0486895          .        .       .            .           .
      41 70  |  -.0053673          .        .       .            .           .
      41 71  |   .8539134          .        .       .            .           .
      41 72  |    .554963          .        .       .            .           .
      41 73  |   .4828082          .        .       .            .           .
      45 68  |          0  (empty)
      45 69  |          0  (empty)
      45 70  |          0  (empty)
      45 71  |          0  (empty)
      45 72  |   .0093793          .        .       .            .           .
      45 73  |          0  (omitted)
      49 69  |   .0774839          .        .       .            .           .
      49 70  |   .3472114          .        .       .            .           .
      49 71  |   .7636001          .        .       .            .           .
      49 72  |          0  (empty)
      49 73  |          0  (empty)
      51 68  |          0  (empty)
      51 69  |          0  (empty)
      51 70  |   1.553203          .        .       .            .           .
      51 71  |   1.921465          .        .       .            .           .
      51 72  |   1.356047          .        .       .            .           .
      51 73  |          0  (omitted)
      53 68  |          0  (empty)
      53 69  |          0  (empty)
      53 70  |          0  (empty)
      53 71  |          0  (empty)
      53 72  |   .1372135          .        .       .            .           .
      53 73  |          0  (omitted)
      55 69  |   .2053881          .        .       .            .           .
      55 70  |   .4367535          .        .       .            .           .
      55 71  |   .8476832          .        .       .            .           .
      55 72  |   .2878413          .        .       .            .           .
      55 73  |   .0765194          .        .       .            .           .
      56 69  |          0  (empty)
      56 70  |          0  (empty)
      56 71  |          0  (empty)
      56 72  |          0  (empty)
      56 73  |          0  (empty)
      57 69  |          0  (empty)
      57 70  |    .037583          .        .       .            .           .
      57 71  |   .3394583          .        .       .            .           .
      57 72  |          0  (empty)
      57 73  |          0  (empty)
      59 69  |          0  (empty)
      59 70  |          0  (empty)
      59 71  |          0  (empty)
      59 72  |          0  (empty)
      59 73  |  -.2411108          .        .       .            .           .
      60 68  |          0  (empty)
      60 69  |          0  (empty)
      60 70  |  -.5601285          .        .       .            .           .
      60 71  |          0  (omitted)
      60 72  |          0  (empty)
      60 73  |          0  (empty)
      61 68  |          0  (empty)
      61 69  |          0  (empty)
      61 70  |          0  (empty)
      61 71  |   .8967721          .        .       .            .           .
      61 72  |   .1949726          .        .       .            .           .
      61 73  |          0  (omitted)
      62 69  |   .9092094          .        .       .            .           .
      62 70  |   .9169648          .        .       .            .           .
      62 71  |   1.325031          .        .       .            .           .
      62 72  |          0  (empty)
      62 73  |          0  (empty)
      63 69  |   .0914994          .        .       .            .           .
      63 70  |    .244437          .        .       .            .           .
      63 71  |   .7147859          .        .       .            .           .
      63 72  |   .1141219          .        .       .            .           .
      63 73  |  -.0992811          .        .       .            .           .
      64 68  |          0  (empty)
      64 69  |   .2294984          .        .       .            .           .
      64 70  |   .4647865          .        .       .            .           .
      64 71  |   .2286729          .        .       .            .           .
      64 72  |          0  (omitted)
      64 73  |          0  (empty)
      65 69  |   -.062651          .        .       .            .           .
      65 70  |  -.0246437          .        .       .            .           .
      65 71  |   .5365738          .        .       .            .           .
      65 72  |          0  (empty)
      65 73  |  -.1154242          .        .       .            .           .
      66 69  |   .1983489          .        .       .            .           .
      66 70  |   .4967936          .        .       .            .           .
      66 71  |          0  (empty)
      66 72  |          0  (empty)
      66 73  |          0  (empty)
      67 68  |          0  (empty)
      67 69  |          0  (empty)
      67 70  |   .1097672          .        .       .            .           .
      67 71  |   .7951707          .        .       .            .           .
      67 72  |   .1489406          .        .       .            .           .
      67 73  |          0  (omitted)
      68 69  |   .1248609          .        .       .            .           .
      68 70  |          0  (empty)
      68 71  |   .5818737          .        .       .            .           .
      68 72  |          0  (omitted)
      68 73  |          0  (empty)
      69 68  |          0  (empty)
      69 69  |          0  (omitted)
      69 70  |   .4068177          .        .       .            .           .
      69 71  |   .7295369          .        .       .            .           .
      69 72  |   .1987703          .        .       .            .           .
      69 73  |          0  (omitted)
      71 68  |          0  (empty)
      71 69  |          0  (empty)
      71 70  |          0  (empty)
      71 71  |          0  (empty)
      71 72  |          0  (empty)
      71 73  |          0  (omitted)
      72 68  |          0  (empty)
      72 69  |          0  (empty)
      72 70  |          0  (empty)
      72 71  |   .6069236          .        .       .            .           .
      72 72  |          0  (omitted)
      72 73  |          0  (empty)
             |
       _cons |   1.649418          .        .       .            .           .
-------------+----------------------------------------------------------------
     sigma_u |    .429405
     sigma_e |          .
         rho |          .   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(47, 0) = .                          Prob > F =      .

.

[Julia Briggs]

Hello Carlo,


thanks for your help and your effort!

I think what I did is a bit different to your estimation, maybe I explained it wrong. For clarification, I copied my code and result here:


. reghdfe ln_wage seceduc tereduc, absorb (panelid#wave, savefe)
(dropped 578 singleton observations)
(converged in 1 iterations)
(converged in 2 iterations)

HDFE Linear regression Number of obs = 1,256
Absorbing 1 HDFE group F( 2, 789) = 1.77
Prob > F = 0.1718
R-squared = 0.8561
Adj R-squared = 0.7711
Within R-sq. = 0.0045
Root MSE = 0.4213

------------------------------------------------------------------------------
lwage_ph | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
seceduc | -.0432152 .0425684 -1.02 0.310 -.1267759 .0403455
terteduc | .0890511 .0878002 1.01 0.311 -.0832985 .2614007
-------------+----------------------------------------------------------------
Absorbed | F(464, 789) = 9.978 0.000 (Joint test)
------------------------------------------------------------------------------

Absorbed degrees of freedom:
--------------------------------------------------------------------+
Absorbed FE | Num. Coefs. = Categories - Redundant |
------------------+-------------------------------------------------|
panelid#wave | 465 465 0 |
--------------------------------------------------------------------+


What do you think?

Kind regards, Julia
.