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st: RE: Panel Data Analysis


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Panel Data Analysis
Date   Thu, 15 Apr 2004 20:04:11 +0100

We've seen various versions of this question before, 
on 29 March and 1 April. 

On 29 March, I said (among other things) 

=============
Having said that, 3 years' worth (or is it 
2 years' worth, 1999 and 2001) of data is not much
basis for fitting a panel model. You're pretty much
reduced to a cross-sectional study, if I understand 
you correctly. 
=============

As far as I can tell no one else has commented, 
nor have you replied to this comment. 

I have raised a question, which I now put more 
strongly: It appears from what 
you tell us that your dataset is inadequate
for testing the kind of model you are interested
in. How do you expect to get a handle on the dynamics
from two time points? All worries about fixed
or random effects, autocorrelation, heteroskedasticity,
etc. are quite secondary until this is answered. 

Either I am wrong here, in which case tell me
with a reasoned argument; 
or you really should be talking this through 
with an advisor or supervisor. Sorry to 
be blunt. 

Nick 
n.j.cox@durham.ac.uk 

Sukhdev Kumar
 
> I'm pretty new to Stata and I was hoping someone might be 
> able to help me
> with a few queries (apologies for the length of the message). I have a
> balanced panel of 78 countries with data for 2 time periods, 
> 1999 and 2001.
> I wanted to run the regression whereby the dependent variable 
> is gdp growth,
> and the independent variables are aids deaths, literacy rate, 
> productivity
> growth and population growth.
> 
> I ran xtreg...re i(country) and also xtreg...fe i(country) 
> followed by the
> xthausman test. I get the following results.
> 
> 
> Hausman specification test (Warning:  xthausman is no longer 
> a supported
> command; use -hausman-.  For
>  instructions, see help hausman.)
> 
>                 ---- Coefficients ----
>              |      Fixed       Random
>    gdpgrowth |    Effects      Effects       Difference
> -------------+-----------------------------------------
>   aidsdeaths |  -.2627628    -.0446729        -.2180899
>   prodgrowth |   .5323049     .5334939         -.001189
>    popgrowth |   .1182492      .307154        -.1889048
>     literacy |  -.4322142     .0048829        -.4370972
> 
>     Test:  Ho:  difference in coefficients not systematic
> 
>                  chi2(  4) = (b-B)'[S^(-1)](b-B), S = (S_fe - S_re)
>                            =     5.31
>                  Prob>chi2 =     0.2569
> 
> Both models are quite poor compared to what I expected but I don't
> understand what the above results are telling me - can 
> anybody help? Can I
> also test for autocorrelation or heteroskedasticity before 
> running another
> model?
> 
> As both the fixed effects and random effects models were poor 
> I also ran the
> xtgls model with corr(ar1) panel(hetero) force and got much 
> better results.
> However, I don't really know whether I should have stated 
> that the model had
> both autocorrelation and heteroskedasticity problems (can I 
> even have ar1
> seeing as my two time periods do not follow each other?). I 
> really need to
> know which model I should use before I go on to run smaller 
> regressions on
> samples of my countries.
> 
> I'd really appreciate it if somebody could help me with this, and I
> apologise in advance for my lack of expertise in this area!

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