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Re: st: Quantile regression with fixed effects and first differences


From   Gordon Hughes <G.A.Hughes@ed.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Quantile regression with fixed effects and first differences
Date   Mon, 09 May 2011 22:49:45 +0100

It doesn't matter that you are trying to replicate another study if the specification doesn't make sense. From your description, you have a panel dataset with a large number of individuals (panels) observed in a number of years. You have taken first differences within each panel, which means that any individual fixed effects have been removed.

Why then, do you want to estimate a model with individual fixed effects? This is equivalent to assuming that each individual unit displays some fixed growth component (linear or logarithmic depending on your dependent variable) over all years. This is a pretty odd specification, especially as your year fixed effects imply that there is some systematic component of growth rates for different years.

If you really want to have individual fixed effects in growth rates, the obvious way round your problem is to take first differences of fDepVar, but I doubt whether that is a sensible model.

Gordon Hughes
g.a.hughes@ed.ac.uk
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