March 2018

Update: Stata v14.1 and 15 Advisory: xtreg, fe does what you expect; manual is incorrect

UPDATE: Sunday, March 4

Yesterday, I received the following message from David Drukker, the Executive Director of Econometrics at Stata:

"The xtreg-fe command in Stata produces consistent point estimates and
standard errors for all the model parameters.  There is a typo on page 27 of
https://www.stata.com/manuals/xtxtreg.pdf .  The formula for bar(bar(y))
should be the grand mean instead of the average of the panel-level means.

William Gould explicitly derived the grand mean as the term to add back in
to recover the...

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