A Review of Stata Routines for Fixed Effects Estimation in Normal Linear Models

Availability of large multi-level longitudinal databases in various fields including labor economics (with workers and firms observed over time) and education research (with students, teachers and schools observed over time) has increased the application of models with one or multiple levels of fixed effects (e.g., teacher and student effects). There has been a corresponding rapid development of Stata routines designed for estimating these types of models. The routines 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 routines. This article catalogs the estimates of reported fixed effects provided by different routines 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.