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Re: st: Re: panel: within and between dimension/correlated effects


From   "Anna D'Addio" <anna.daddio@hiva.kuleuven.ac.be>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re: panel: within and between dimension/correlated effects
Date   Mon, 24 Feb 2003 14:42:19 +0100

why don't try the mundlack (1978) estimator?
anna
----- Original Message -----
From: <MKF.Poschke@Student.Unimaas.NL>
To: <statalist@hsphsun2.harvard.edu>
Sent: Monday, February 24, 2003 2:38 PM
Subject: RE: st: Re: panel: within and between dimension/correlated effects


> Scott,
>
> I cannot use a random effects estimator because of strong correlation
> between the individual effects and the regressors - heterogeneity bias
> according to Chamberlain. On the other hand, the fixed effects estimator
> throws out all the between variation. I know that there are ways of taking
> into account the heterogeneity bias, but do not know how to do it - that
is
> why I wanted to know if anybody else does.
>
> Markus
>
>
> -------------
> > Greetings,
> >
> > I posted this question some time ago, without any reaction. Therefore, I
> > will try to make it clearer.
> >
> > I am estimating a macroeconomic panel data model, and I am looking for
an
> > estimator that accomodates both the within and the between dimensions.
>
> Isn't the random effects estimator (xtreg, re) a weighted averaged of the
> between and within results?
>
> Have you taken look at xtgee - it allows for variety of correlation
> structures
> and semi-robust standard errors, though it is a population-averaged
> estimator.
>
> I hope this helps,
> Scott
>
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