# [R] can R do Fixed-effects (within) regression (panel data)?

From: ronggui <0034058_at_fudan.edu.cn>
Date: Sat 04 Jun 2005 - 22:42:24 EST
1. can R do Random-effects GLS regression which i can get from Stata? the following result is frome Stata.can I get the alike result from R?

xtreg lwage educ black hisp exper expersq married union, re

```Random-effects GLS regression                   Number of obs      =      4360
Group variable (i) : nr                         Number of groups   =       545

R-sq:  within  = 0.1799                         Obs per group: min =         8
between = 0.1860                                        avg =       8.0
overall = 0.1830                                        max =         8

Random effects u_i ~ Gaussian                   Wald chi2(14)      =    957.77
corr(u_i, X)       = 0 (assumed)                Prob > chi2        =    0.0000

------------------------------------------------------------------------------
lwage |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]

-------------+----------------------------------------------------------------
educ |   .0918763   .0106597     8.62   0.000     .0709836    .1127689
......................
d86 |   .0919476   .0712293     1.29   0.197    -.0476592    .2315544
d87 |   .1349289   .0813135     1.66   0.097    -.0244427    .2943005
_cons |   .0235864   .1506683     0.16   0.876     -.271718    .3188907

-------------+----------------------------------------------------------------
sigma_u |  .32460315
sigma_e |  .35099001
rho |  .46100216   (fraction of variance due to u_i)

```

2)

can R do Fixed-effects (within) regression as Stata's xtreg?

the followng example is from
"Introductory Econometrics: A Modern Approach" by Jeffrey M. Wooldridge Chapter 14 - Advanced Panel Data Methods

use http://fmwww.bc.edu/ec-p/data/wooldridge/JTRAIN iis fcode
tis year
xtreg lscrap d88 d89 grant grant_1, fe

```Fixed-effects (within) regression               Number of obs      =       162
Group variable (i) : fcode                      Number of groups   =        54

R-sq:  within  = 0.2010                         Obs per group: min =         3
between = 0.0079                                        avg =       3.0
overall = 0.0068                                        max =         3

F(4,104)           =      6.54
corr(u_i, Xb)  = -0.0714                        Prob > F           =    0.0001

------------------------------------------------------------------------------
lscrap |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]

-------------+----------------------------------------------------------------
d88 |  -.0802157   .1094751    -0.73   0.465    -.2973089    .1368776
d89 |  -.2472028   .1332183    -1.86   0.066    -.5113797     .016974
grant |  -.2523149    .150629    -1.68   0.097    -.5510178     .046388
grant_1 |  -.4215895      .2102    -2.01   0.047    -.8384239   -.0047551
_cons |    .597434   .0677344     8.82   0.000     .4631142    .7317539

-------------+----------------------------------------------------------------
sigma_u |   1.438982
sigma_e |   .4977442
rho |  .89313867   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(53, 104) =    24.66             Prob > F = 0.0000

```

thank you!!

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