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  • Gam Chuen Lei
    started a topic Time Fixed Effects using xtreg

    Time Fixed Effects using xtreg


    I would like to ask if there's any way to use xtreg to estimate time fixed effects only. I need to use xtreg specifically since I have post-estimation tests---like xtcsd and xttest3---that require an xtreg output. That means, I cannot just use reg with i.time or a package that may have a similar function.

    I've tried setting up the panel in reverse, i.e. year as id and panel as time, but I have doubts with this approach. Nevertheless, if anyone can say anything (or post a link) about the validity (or otherwise) of doing it this way, I would be most grateful.

  • Joseph Coveney
    Just a guess based upon what you seem to be looking for, but have you considered something like the following instead of -xtset time panel-?
    xtreg response i.panel, i(time) fe

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