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


From   "Steven Stillman (LMPG)" <Steven.Stillman@lmpg.dol.govt.nz>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Re: panel: within and between dimension/correlated effects
Date   Tue, 25 Feb 2003 18:44:51 +1300

For those that are interested: this is an alternative cite for the
correlated random effects estimator that I mentioned in a prior email.
Steve

> -----Original Message-----
> From:	Anna D'Addio [SMTP:anna.daddio@hiva.kuleuven.ac.be]
> Sent:	Tuesday, February 25, 2003 2:42 AM
> To:	statalist@hsphsun2.harvard.edu
> Subject:	Re: st: Re: panel: within and between dimension/correlated
> effects
> 
> 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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> 
> 
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