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st: RE: Panel Data Analysis
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
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
> 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,
> 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
> 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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