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st: xtpcse and fixed effects


From   "Jason Yackee" <jyackee@law.usc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtpcse and fixed effects
Date   Wed, 27 Sep 2006 08:48:51 -0700

Gerhard,  I can't answer your question precisely, but it may be worth
pointing out that Beck & Katz would most likely say that it is generally
not desirable or necessary to include FE when using PCSE, especially
when one includes a lagged DV on the right-hand side.  To my knowledge
their has been only one attempt to test via, monte carlo analysis,
whether PCSE with an LDV is biased or inconsistent in the presence of
unaccounted-for (omitted) FE, a 2003 working paper by Wawro that has not
yet found its way into publication.  At least in my field it appears
that most analysts rely on PCSE, with the LDV arguably and in part
standing in as a proxy for fixed effects (a role also suggested by
Beck), rather than attempting PCSE with fE.

Jason Webb Yackee, PhD Candidate; J.D.
Fellow, Gould School of Law
University of Southern California
jyackee@law.usc.edu
Cell: 919-358-3040


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