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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: RE: Re: RE: Fixed-effects, unbalanced panel and time-invariant variable
Date   Tue, 17 Oct 2006 17:59:43 +0100

Rodrigo,


> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Rodrigo A. Alfaro
> Sent: 17 October 2006 17:50
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Re: RE: Re: RE: Fixed-effects, unbalanced panel 
> and time-invariant variable
> 
> Mark,
> 
> 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
are.

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?

--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


> Rodrigo.
> 
> 
> 
> 
> -------------------------------------------------------------------
> Mark wrote:
> 
> Rodrigo,
> 
> 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?
> 
> Cheers,
> Mark
> 
> 
> 
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