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Re: st: RE: Fixed-effects, unbalanced panel and time-invariant variable


From   Vera Troeger <vtroe@essex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Fixed-effects, unbalanced panel and time-invariant variable
Date   Tue, 17 Oct 2006 16:55:28 +0100

I guess because the hausman test rejected the strict exogeneity
assumption of RE? so RE is not appropriate and produces biased estimates.
Vera

Schaffer, Mark E schrieb:
Barbara,


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
PETITT Barbara
Sent: 17 October 2006 14:47
To: statalist@hsphsun2.harvard.edu
Subject: st: Fixed-effects, unbalanced panel and
time-invariant variable

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 vector decomposition
(xtfevd), but does it work for unbalanced panel?
Otherwise, is there any alternative?

Maybe I am missing something obvious, but why won't the standard random
effects estimator work for you?  -xtreg,re- etc.

--Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes



Thank you.

Barbara.

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--
Vera E. Troeger
Lecturer in Political Science
Government Department
University of Essex
Wivenhoe Park
Colchester CO4 3SQ
UK

phone: +44 (0)1206 872509
email: vtroe@essex.ac.uk


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