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Re: st: dynamic panel models with fixed effects


From   "M.Parameswaran" <mpeswaran@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: dynamic panel models with fixed effects
Date   Mon, 10 Jul 2006 09:36:52 +0530

Please look at Arelano-Bond estimates, the paper can be seen in Reveiw
of Economic Studies, 1991. Estimation of Dynamic Panel data.
Parameswaran

On 08/07/06, Tomislav Kovandzic <tkovandzic@bham.rr.com> wrote:
Dear List,

I'm working with state panel data for roughly 30 years and estimating a
fixed-effects model with a lagged dependent variable on the right-hand
side to address autocorrelation.  Several colleagues have informed me
that including a lagged dependent variables on the RHS when utilizing a
fixed-effects model is simply a no-no, i.e. such estimations yield
inconsistent estimates.  My question is whether the inconsistency dies
away as the number of time-periods goes off to infinity?  If so, are
there any rules of thumb as to how many time periods are needed to
mitigate the problems described above.  A reference would be much
appreciated.  If the estimates are inconsistent regardless of the number
of time-periods, can someone offer an alternative approach to correcting
for autocorrelation when using a fixed-effects model?  Would cluster
robust standard errors do the trick?  Thanks in advance.

Best,

Tom


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--
___________________________________
M. Parameswaran,
Research Associate,
Centre for Development Studies,
Prasanth Nagar Road, Ulloor.
Trivandrum - 695 011,
Kerala, India.
Phone: +91-471-2448881 (O)
           +91 - 09446506388 (mobile)
e-mail: parameswaran@cds.ac.in
          mpeswaran@gmail.com
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