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From |
"Dithmer, Jan" <jdithme@food-econ.uni-kiel.de> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
AW: st: RE: Lagged dependent variable with fixed effects regression |

Date |
Mon, 9 Jul 2012 16:15:59 +0200 |

Erhan, including the lagged dependent variable gives rise to dynamic panel or Nickell bias as it will be correlated with the error term in the fixed effects specification. However this bias diminishes with increasing T. Thus, if your time horizon is rather short, you may get problems with endogeneity. Best, Jan -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Erhan Kilincarslan Gesendet: Monday, July 09, 2012 3:39 PM An: statalist@hsphsun2.harvard.edu Betreff: RE: st: RE: Lagged dependent variable with fixed effects regression 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? > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: AW: st: RE: Lagged dependent variable with fixed effects regression***From:*Erhan Kilincarslan <erhan_kilincarslan@msn.com>

**References**:**st: Lagged dependent variable with fixed effects regression***From:*Erhan Kilincarslan <erhan_kilincarslan@msn.com>

**st: RE: Lagged dependent variable with fixed effects regression***From:*"Popick, Stephen J." <spopick@fdic.gov>

**RE: st: RE: Lagged dependent variable with fixed effects regression***From:*Erhan Kilincarslan <erhan_kilincarslan@msn.com>

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