Xtset and fixed effects

[Emma Fridel]

Hi all, I am trying to run a panel model with fixed effects for year and state. If you xtset your data, does that automatically include fixed effects for those variables, or do you need to include dummy variables as well? In other words, which model is correct?

xtset state year
xtnbreg DV IV

or

xtset state year
xtnbreg DV IV i.state i.year

[Carlo Lazzaro]

Emma:
welcome to this forum.
If you want to capture the so called time fixed effect too, you shoud write:

xtset state year
xtnbreg DV IV i.year

Please note that -xtnbreg- calculates conditional fixed effect (which are different from the fixed effect calculated via -xtreg-).

[Emma Fridel]

Hi Carlo,
Thank you so much for your response! To clarify, how does

xtset state year
xtnbreg DV IV i.year

differ from

xtset state year
xtnbreg DV IV, fe ?

In my models, when I run xtnbreg DV IV, fe, the model converges, but if I try to run xtnbreg DV IV i.year, nothing happens.