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Re: RE : st: Fixed-effects, unbalanced panel and time-invariant va=
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From |
Vera Troeger <[email protected]> |
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To |
[email protected] |
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Subject |
Re: RE : st: Fixed-effects, unbalanced panel and time-invariant va= |
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Date |
Tue, 17 Oct 2006 16:14:14 +0100 |
riable
References: <[email protected]>
In-Reply-To: <[email protected]>
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yes, it is an ongoing discussion. however, the SEs of the latest version
should be correct, at least we tested this by MC simulations. the SEs
for time varying variables are calculated with a demeaned VC matrix and
the degrees of freedom are corrected for regressors plus n-1 unit
effects. the SEs for time invariant variables are pooled ols with
corrected degrees of freedom for no of regressors plus n-1 unit effects.
it is described in the paper. with simulated data the SEs were correct
for various settings and specifications.
Vera
PETITT Barbara schrieb:
> Thanks, Vera. Did you get my other message about the computation of the s=
tandard errors for xtfevd? Somehow, it looks like the coefficient are fine,=
but the standard errors and the t-stats are weird. Thanks again. Barbara.
>
> -----Message d'origine-----
> De : [email protected] [mailto:owner-statalist@hsphsun=
2.harvard.edu] De la part de Vera Troeger
> Envoy=E9 : mardi 17 octobre 2006 16:12
> =C0 : [email protected]
> Objet : Re: st: Fixed-effects, unbalanced panel and time-invariant variab=
le
>
>
> xtfevd does work for unbalanced panels in the same way as fe. Vera
>
> PETITT Barbara schrieb:
>
>> Hello,
>>
>> I have an unbalanced panel (for some firms, I have three years of
>> data, for others, two years or even only one year). One of my
>> independent variables is a time-invariant variable and with
>> fixed-effects models, its gets dropped. I contemplated using the fixed
>> effects vectorxtfevd decomposition (xtfevd), but does it work for
>> unbalanced panel? Otherwise, is there any alternative? Thank you.
>>
>> Barbara.
>>
>> *
>> * 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/
>>
>>
>>
>>
>
>
--=20
Vera E. Troeger
Lecturer in Political Science
Government Department
University of Essex
Wivenhoe Park
Colchester CO4 3SQ
UK
phone: +44 (0)1206 872509
email: [email protected]
*
* 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/
