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st: STATA command for reporting the estimate of the variance of the time-invariant fixed effect.


From   Stephen Armah <armah.stephen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: STATA command for reporting the estimate of the variance of the time-invariant fixed effect.
Date   Fri, 5 Jun 2009 08:08:35 -0500

Dear Statalist,
I am trying to determine how political stability influences the effect
of aid on growth  in Sub-Saharan Africa.  I have 31 countries and 6
years with some missing data so the panel is not balanced.
 I am aware that there is possible endogeneity due to country-specific
effects.  I know I can eliminate these country-specif effects by
first-differencing, forward orthogonal differencing or by applying
time-demeaning (the fixed effects transformation).

 My question is I want an indication of how large the country specific
effects are and if they are causing significant endogeneity bias. Note
that because  have few observations, traditional Durbin-Wu_Hausman
tests cannot pick up endogenety even if it is present so I cannot use
tests of endogeneity to check for country specific effect endogeneity.

  However, according to Woolridge's book, I can use a command in STATA
to tell me what the variance of the fixed effect is. This will give me
an indication of the presence of endogeneity. Then I can use a formal
Breusch-Pagan test to confirm heteroskedasticity. Does anyone know the
STATA command for reporting the estimate of the variance of the
time-invariant fixed effect during fixed effects estimation.

Sincerely,
Stephen E Armah
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