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From |
"Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: xtpcse vs. xtgls / polsci vs. econ |

Date |
Mon, 26 Apr 2004 23:40:02 +0100 (BST) |

Moritz Schularick wrote: > I've been running both -xtpcse and -xtgls on my > serially correlated and heteroskedastic, unbalanced > panel (N=50, T=30). [...] > However, I was not prepared to see (for some > variables) markedly different coefficient estimates > (including switching signs) between the two, but > that's exactly what I get. Take a look at Table 1 in Beck's (2001) paper: you should find that opposite signs ought not to be _that_ common when running -xtpcse- versus -xtgls- (how many have you found in your model?), but they are _not_ impossible to find with datasets of your size. > Given heteroskedasticity, the coefficient estimates > via GLS (xtgls) could be more efficient than OLS > (xtpcse), but I am not sure how the small T, large N > problem affects the reliability of coefficient > estimates in -xtgls? Does anybody know? As far as my reading of the classic papers of pooled analysis make out, it is the reliability of the _standard errors_ of FGLS parameters (where N is small(ish)) that is the problem, _not_ that of the coefficients. Monte Carlo tests alone appear bear this out. In an indirect apology to David Greenberg, I must confess that I misunderstood the problems that arise with fitting FGLS models. As Brian Poi informed me privately, FGLS estimators are indeed correct when N is _large_ (though how large is large is a moot point: it is not addressed directly in the pooled-analysis literature when one leaves the realm of OLS-PCSE and enters the kingdom of FGLS). As a practical tip, Moritz, try running a different model (comparing -xtpcse- with -xtgls-) with a different dataset and see what happens. Whatever does happen, since N > T in your dataset, you will not be able to correct for cross-panel correlation, which may well affect the accuracy of your OLS-PCSE estimators (another tip for which I'm grateful to Brian). I'm afraid I cannot answer your final question, since I'm not an economist! CLIVE NICHOLAS |t: 0(044)191 222 5969 Politics |e: clive.nicholas@ncl.ac.uk Newcastle University |http://www.ncl.ac.uk/geps Beck N (2001) "Time-Series-Cross-Section Data: What Have We Learned in the Past Few Years?" ANNUAL REV POLIT SCI 4: 271-93. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: xtpcse vs. xtgls / polsci vs. econ***From:*Moritz Schularick <mschularick@yahoo.de>

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