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st: Re: question on XTOVERID


From   Christopher Baum <baum@bc.edu>
To   Davillas Apostolos <davillas@upatras.gr>
Subject   st: Re: question on XTOVERID
Date   Mon, 22 Mar 2010 14:17:23 -0400

<>
Statalist protocol states that you should reply to the list, and not to the poster who responded to your question.

FEs allow X to be corr with unit-specific error, but not idiosyncratic error. If there is corr (X,epsilon) then FE is inconsistent (as it is OLS wi/dummies) and you need xtivreg to get consistent ests. Thus treating xtreg,FE as consistent is an assumption which should be tested before treating it as the always-consistent alternative to xthtaylor.



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