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I am running random coefficient model using my panel data (gravity model in
international trade), using xtrchh command.
Now my model is a bit tricky. My dep. var has three dimensions. Industry,
Country pair and year. My explanatory variable has two dimensions. Country
pair and year.
I am trying to run random coefficient model assuming that group variable is
industry (Y has variation across industry, but X does not). I am yet not so
sure whether this is right or wrong approach econometrically. The STATA help
seem to be saying the group variable in Y has to be the same as the group
variable in X.
Any help would be greatly appreciated.
PhD student, Brandeis University.
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