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The Stata Journal
Volume 12 Number 3: pp. 406-432

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A review of Stata commands for fixed-effects estimation in normal linear models

Daniel F. McCaffrey
The RAND Corporation
Pittsburgh, PA
J. R. Lockwood
The RAND Corporation
Pittsburgh, PA
Kata Mihaly
The RAND Corporation
Washington, DC
Tim R. Sass
Georgia State University
Atlanta, GA
Abstract.  Availability of large multilevel longitudinal databases in various fields of research, including labor economics (with workers and firms observed over time) and education (with students, teachers, and schools observed over time), has increased the application of models with one level or multiple levels of fixed effects (for example, teacher and student effects). There has been a corresponding rapid development of Stata commands designed for fitting these types of models. The commands parameterize the fixed-effects portions of models differently. In cases where estimates of the fixed-effects parameters are of interest, it is critical to understand precisely what parameters are being estimated by different commands. In this article, we catalog the estimates of reported fixed effects provided by different commands for several canonical cases of both one-level and two-level fixed-effects models. We also discuss issues regarding computational efficiency and standard-error estimation.
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View all articles by these authors: Daniel F. McCaffrey, J. R. Lockwood, Kata Mihaly, Tim R. Sass

View all articles with these keywords: longitudinal data, linked employer–employee data, fixed-effects estimators, regress, areg, a2reg, gpreg, reg2hdfe, xtreg, fese, felsdvregdm, software review

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