Panel | Fixed Effects | Time-invariant variables | Auxiliary regression

Hi,


I need some help. I would like to use a fixed effects panel model but I have some time-invariant exogenous variables.
Hausman-Taylor estimator is not an appropriate solution for me. I would rather try to adress this problem via an auxiliary regression.

(The model: y_it = a_i + sum(b_j*x_ijt) + u_it
The auxiliary regression: â_i = mu + sum( d_l*w_il) + e_i
w: Time-invariant exogenous variables)

Could anyone describe how I can apply this in STATA? (I use version 12)
Unfortunately I am a rookie in using STATA and do not have any idea.


Thanks in advance!

Best Regards