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Re: st: Residuals in Panel Data regression


From   "D. Demetriou" <dd358@cam.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Residuals in Panel Data regression
Date   23 Apr 2012 18:09:41 +0100

Prakash,

Thank you for getting back to me!


I am using Fixed-effects regression models (xtreg, fe) and I just want to know what properties do my regression residuals need to have in order for me to be able to use reliably t-statistics (for significant coefficients), F-statistics for joint significance, etc. for example: is normality important ? ( i think yes since t-statistics are designed for normal data). And so on...

The key question here is: do the conditions/asumptions (regarding error process) differ between OLS and FE??

Yours,

DD




Dimitri, it would be nice if you can restructure your question as in
what do you mean by it and what do you want to do.



Prakash

On Sat, Apr 21, 2012 at 3:28 AM, D. Demetriou <dd358@cam.ac.uk> wrote:
Hi everyone,

Hope my email finds you all well.

Just a quick question here: What requirements should one have on the
residuals of panel data regressions in order to be able to use reliably
t-statistics etc.

Do these differ if one uses fixed-effects regression rather than POLS?

Thank you all in advance!

Yours,

Dimitri
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