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I am estimating a PCSE for different panels per subperiods. My panel has 420
observations and 22 years, but it's unbalanced due to missing observations
in different years. For one of the subperiods I got the following message:
"no time periods are common to all panels, cannot estimate disturbance
covariance matrix using casewise inclusion"
I guess this has to do with the estimation method, but FGLS for the same
subperiod does not give me any error... However, after hearing some of the
discussion in this list about PCSE vs. FGLS, I thought the former was more
appropriate to use.
Can anyone suggest me if there'd be a way of going about this?
DPhil candidate in Economics
University of Sussex
Department of Economics
Arts Building E - office 517
Falmer, Brighton BN1 9SN
Tel: +44 (0) 1273 - 873538
Fax: +44 (0) 1273 673563
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