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AW: st: fixed vs random effect model


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: fixed vs random effect model
Date   Sun, 4 Jul 2010 18:54:11 +0200

<> 

" One source on this 
is the Wooldrige econometrics book on cross-sectional and pooled 
time-series models (sorry but the book's at home, so I don't have a 
complete citation)"



Probably http://www.stata.com/bookstore/cspd.html...




HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von David Jacobs
Gesendet: Sonntag, 4. Juli 2010 18:51
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: fixed vs random effect model

If the Haussman test rejects random-effects, that test is telling you 
a random-effects approach would not produce consistent results.  And 
this would be a deadly flaw.

A reasonable answer to your question depends on how small your 
over-time (or within) variances actually are (which you don't tell 
us). Given the limited information you've provided, I'd go with 
fixed-effects, but tell the reader the degree to which specific 
explanatory variables approach time invariance.  One source on this 
is the Wooldrige econometrics book on cross-sectional and pooled 
time-series models (sorry but the book's at home, so I don't have a 
complete citation) on about page 270 (I think).

One way to assess this problem is to use the Stata routine -xtsum- as 
it provides over time (or within) standard deviations for variables 
in a pooled time-series model.

Dave Jacobs

At 10:42 AM 7/4/2010, you wrote:
>Good day Stata-listers,
>I'm apoloziging is the question may seems elementary for many of you,
>but i really need to check this before going on in my analysis. i'm
>running a panel data regression and after performing the haussman test
>the conclusion was that my model is a fixed effect one. The problem is
>located on my explanatory variables which display week variations, and
>as it is well known fixed effect model gives weak results in a such
>case. So should 'i use the random effect instead???
>
>Thanks a lot in advance.
>
>Ama.
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