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RE: st: RE: Lagged dependent variable with fixed effects regression


From   Erhan Kilincarslan <erhan_kilincarslan@msn.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: Lagged dependent variable with fixed effects regression
Date   Mon, 9 Jul 2012 14:38:52 +0100

Well, my basic model is reg cashdiv earnings l.cashdiv and then i will add more IV and control variables. Howeever, when I run OLS pooled , FE and RE regressions, OLS and RE give similar results, FE gives similar but a bit different with very low coeeficients. I wonder it is because the lagged dependent variable in the model? Hausman test indicates FE rules over RE and B/P Lagrange test indicates RE rules over OLS. So, in this case should I go for RE? Is including Lagged dependent variable in FE is not appropriate in FE? 

----------------------------------------
> From: spopick@fdic.gov
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: Lagged dependent variable with fixed effects regression
> Date: Mon, 9 Jul 2012 12:43:00 +0000
>
> Erhan,
>
> That might depend on whether you have identification of the regression equation with the lagged dependent variables being included. If you have any endogeneity concerns, I hope you have some IV's.
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Erhan Kilincarslan
> Sent: Monday, July 09, 2012 8:36 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Lagged dependent variable with fixed effects regression
>
> Would you please tell me that if I include lagged dependent variable in the model and use fixed effects panel regression, would it be working correctly?
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