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st: RE: Consistency of individual effects in fixed effects estimation


From   "Neumayer,E" <E.Neumayer@lse.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Consistency of individual effects in fixed effects estimation
Date   Mon, 2 Sep 2002 11:17:23 +0100

It's probably against etiquette to ask the same question again, but can anybody help with this, please? Surely someone must have some experience in this matter.

I would like to estimate the individual effects in a fixed effects estimation with N about 60. The individual effects are estimated unbiasedly under the usual FE assumptions, but they are consistent only for T going to infinity. Any idea how large T would have to be to get "good" estimates of the individual effects? What about T=7? What about T=20?

Thanks, Eric Neumayer
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