[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
st: RE: Re: RE: Re: RE: Fixed-effects, unbalanced panel and time-invariant variable
> -----Original Message-----
> From: firstname.lastname@example.org
> [mailto:email@example.com] On Behalf Of
> Rodrigo A. Alfaro
> Sent: 17 October 2006 17:50
> To: firstname.lastname@example.org
> Subject: st: Re: RE: Re: RE: Fixed-effects, unbalanced panel
> and time-invariant variable
> The theoretical method FE+BE helps, but she needs the
> procedure to run this that also works for unbalanced-data.
> She said that xtfevd std errors are too small, which is true.
> Any suggestions?
Still not sure I understand the issue she faces.
FE - consistent estimates of the TV coefficients, but not the TI ones
because they drop out.
RE - consistent estimates of the TV and TI coefficients, if not
correlated with the group error component ("fixed/random effect").
Inconsistent estimates of both if endogenous effects.
FE+BE - consistent estimates of TV coefficients. Consistent estimates
of TI coefficients, if not correlated with group error component, i.e.,
like random effects; inconsistent estimates of TI coefficients if they
She is particularly interested in the TI coefficients. In terms of
consistency, it doesn't matter if she goes down the RE or FE+BE route.
If one estimate of the TI coefficients is inconsistent, so is the other.
Did I get this right? If so, is one conclusion that she needs
instruments for her TI variables?
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
> Mark wrote:
> Very clear - I understand now.
> How does this help Barbara, though? She says she's
> interested in the coefficient on the TI variable in
> particular. FE+BE doesn't help here, or am I missing something?
> * 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/
* For searches and help try: