Statalist The Stata Listserver

[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: RE: Re: dynamic panel models with fixed effects

From   "Tomislav Kovandzic" <>
To   <>
Subject   st: RE: Re: dynamic panel models with fixed effects
Date   Mon, 10 Jul 2006 09:01:15 -0500


I'll take a look.  Thanks a million!!!


-----Original Message-----
[] On Behalf Of Rodrigo A.
Sent: Sunday, July 09, 2006 6:36 PM
Subject: st: Re: dynamic panel models with fixed effects


In the following paper there is a rule of thumb for dynamic
panel data, that follows your intuitive analysis:

Hahn, J. and G. Kuersteiner (2002) "Asymptotically Unbiased 
Inference for a Dynamic Panel Model with Fixed Effects when 
both n and T are large," Econometrica, 70 (2002), 1639-1657

A draft version is available at

Section 3 is the case that you are looking for, equation 6.
Basically, the bias-corrected estimator (obtained in this paper) 
is b1 = (T+1)*b0 + 1/T, where b0 is MLE (OLS) estimator
or the estimator obtained by "brute force".


----- Original Message ----- 
From: "Tomislav Kovandzic" <>
To: <>
Sent: Saturday, July 08, 2006 2:22 PM
Subject: st: dynamic panel models with fixed effects

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.



*   For searches and help try:
*   For searches and help try:

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index