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st: Clustering, Fixed Effects, or else?

From   Leigh Lee <>
Subject   st: Clustering, Fixed Effects, or else?
Date   Fri, 21 May 2010 01:16:35 -0400


I intend to estimate the following model:  Y(i,t)=X(i,t)+Z(t), where i
denotes units and t denotes months.  Y is updated monthly, and it
exhibits auto-correlation.  Some variables in the X matrix are updated
monthly, but some are updated quarterly.  Z is the variable I am
interested at, but it is time-variant only (by month).  What is the
best means to get reliable inference (standard errors) of the effect Z
has on Y.

To test my next hypothesis, I further want to estimate the following:
Y(j,i,t)=X(i,t)+Z(t), where i denotes units and t denotes months as
above and j denotes subjects in each unit i.  Once again, I am not
sure what is the best estimation method.

Thanks in advance for your help!!


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