Fund and time fixed effects

[John Lei]

Hey I am new to Stata, how can I run a fund and time fixed regression? What would the code look like if I have a FundID and a time variable and other fundvariables and my independent varibale would be alpha? Thanks for helping me out!

[Joro Kolev]

You mean your Dependent variable would be alpha? You want to explain the alpha/abnormal performance of the funds, no?

Your regression would look like

reg alpha i.FundID i.year other_fund_variables

or even better

areg alpha i.year other_fund_variables, absorb(FundID).

[John Lei]

oh sorry yes that is what I meant, but do I not have to use xtreg, fe?

[Joro Kolev]

You can use -xtreg, fe- but you do not have to.

Best way to do this is trough -areg-.

[John Lei]

ok, thanks a lot and if I use xreg do I have to do xtset before?

[Phil Bromiley]

Yes.