Estimating the Firm Fixed Effect

Dear all;

This is a new post that better explains my previous post and show how fixed effect component is estimated in a paper by Billings and Morton (2000). The entire paper is attached to the older post but relevant parts are attached to this post.

Older post is http://www.statalist.org/forums/foru...-fixed-effects

I created a new post as I believe that the document here shows much better and in details the proper way to estimate firm fixed effect in a panel.


My question:
How can I estimate LAG and FIRM components following the authors approach (attached) ?




Thanks a lot