Practical fixed-effects estimation methods for the three-way error-components model

Martyn Andrews, Thorsten Schank, Richard Upward

Research output: Contribution to journalArticlepeer-review


Methods for fixed-effects estimation of the three-way error-components model are not yet standard. Where possible, we make the fixed-effects methods originally developed by Abowd, Kramarz, and Margolis (Econometrics 67: 251-333) for linked worker-firm data more accessible. We also show how these methods can be implemented in Stata. There is a caveat, however. If the researcher wants to recover estimates of the error components themselves, and the number of units at the higher level of aggregation is large, memory or matrix constraints may make using Stata to estimate the components themselves infeasible. © 2006 StataCorp LP.
Original languageEnglish
Pages (from-to)461-481
Number of pages20
JournalThe Stata Journal
Issue number4
Publication statusPublished - 2006


  • Fixed effects
  • Grouping
  • Linked employer-employee panel data
  • St0112


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