*   R. Carter Hill, William E. Griffiths and Guay C. Lim,  
*   Principles of Econometrics, Third Edition, Wiley, 2008.

* Chapter 15.4  The Fixed Effects Model

SAMPLE 1 200
READ (grunfeld.shd) ID t INV V K

* Least squares estimation of the pooled model - Table 15.5, page 393.
OLS INV V K

* Generate a set of cross-section dummy variables.
MATRIX CSDUM=SEAS(200,-10)
DO #=1,10
GENR CS#=CSDUM:#
ENDO
* Estimate a fixed effects model with cross-section dummy variables,
* Table 15.4, page 392.
POOL INV V K CS1-CS10 / NCROSS=10 OLS NOCONSTANT
* F-test for equality of the firm intercepts, page 393.
TEST 
 TEST CS1=CS2
 TEST CS1=CS3
 TEST CS1=CS4
 TEST CS1=CS5
 TEST CS1=CS6
 TEST CS1=CS7
 TEST CS1=CS8
 TEST CS1=CS9
 TEST CS1=CS10
END

* Fixed effects estimation with the POOL command.
* This is the estimation approach discussed in Chapter 15.4.2, pp. 393-6.
POOL INV V K / NCROSS=10 OLS FIXED
STOP