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


From   menale kassie <dawitkassie@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Fixed-effects, unbalanced panel and time-invariant variable
Date   Tue, 17 Oct 2006 10:12:51 -0700 (PDT)

What if one uses the Mundlak 's (1978) version of random effects to handle the correlation between unobserved effects and time varying explanatory variables? In this case, one can produced consistent estimates. For Mundlak approach see Wooldidge (2002, pp 487-488).
Menale

----- Original Message ----
From: Vera Troeger <vtroe@essex.ac.uk>
To: statalist@hsphsun2.harvard.edu
Sent: Tuesday, October 17, 2006 6:55:28 PM
Subject: Re: st: RE: Fixed-effects, unbalanced panel and time-invariant variable


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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