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RE: st: Dynamic Panel Data


From   Humaira Asad <[email protected]>
To   STATA HELP <[email protected]>
Subject   RE: st: Dynamic Panel Data
Date   Mon, 7 Mar 2011 12:51:32 +0000

Thank you Eric and Clive for very useful comments and suggestions for the reading material. I am reading the references and will try all the suggestions and update accordingly.
 
Thank you once again.




Humaira Asad
PhD Research Scholar

UoE Business School

University of Exeter, England
















----------------------------------------
> Date: Sun, 6 Mar 2011 22:38:40 +0000
> Subject: Re: st: Dynamic Panel Data
> From: [email protected]
> To: [email protected]
>
> Eric De Souza replied:
>
> > I forgot to add the following: if the variance covariance matrix of the estimators is not correctly estimated, how can one judge the significance of the the coefficients on the LDV?
>
> Is this another way of arguing that the VCV would be incorrectly
> estimated were an LDV to be included in a FE or RE model? If so, then
> the only solution is IV, as any respectable economoetrician would
> argue. Frankly, sticking my head inside the oven in my kitchen and
> turning the gas on would be a much more productive use of my time than
> spending any more time than I have already attempting fit any more IV
> models to any panel data I have collected.* In theory, they look
> wonderful. In practice, they're more trouble than they're worth, even
> more so if you can't find a suitable instrument which presses all the
> right buttons (of which there are lots). It's little wonder that many
> analysts, especially those in political science (of which I used to
> include myself), choose to ignore IV and fit their panel models using
> -xtpcse-.
>
> --
> Clive Nicholas
>
> [Please DO NOT mail me personally here, but at
> . Please respond to contributions I make in
> a list thread here. Thanks!]
>
> *I strongly suspect that there are not one or two members of this list
> who would much rather I did.
> *
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