Dear Statalist users,
Does someone know how to implement the procedure suggested in Pesaran and Zhou (2017) and Law and Zhou (2017) to estimate time-invariant variables in in a fixed panel model? The 'xtfef' command used in Law and Zhou (2017) is not available in Stata.
Kind regards,
Emna
References
1- Pesaran, M. H. and Q. Zhou (2017). Estimation of time-invariant effects in static panel data models. Econometric Reviews, 1137-1171.
2- Law, Y and Q. Zhou (2017). Estimation of time-invariant effects in both balanced and unbalanced static panel models: A discussion of the “xtfef” command for FEF and FEF-IV estimators. Working Paper.
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