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From |
Erhan Kilincarslan <erhan_kilincarslan@msn.com> |

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

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

Date |
Mon, 9 Jul 2012 16:32:48 +0100 |

Thanks, Jan. I have around 850 fims with data from 2001-2011. So, T is 11 years. Even in fixed effects specifcation, as first year is omiited, T = 10 years. Hence, in this case, you are saying I would definitily get problems with endogenity??? if it is the case, should I use RE specification instead to report my results? p.s. Can you please recommend me a book/books explaining endogenity problems related to lagged dependent variable and fixed effects?? Because, I couldnt find any Regards Erhan > From: jdithme@food-econ.uni-kiel.de > To: statalist@hsphsun2.harvard.edu > Date: Mon, 9 Jul 2012 16:15:59 +0200 > Subject: AW: st: RE: Lagged dependent variable with fixed effects regression > > 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/ * * 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**:**AW: AW: st: RE: Lagged dependent variable with fixed effects regression***From:*"Dithmer, Jan" <jdithme@food-econ.uni-kiel.de>

**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>

**AW: st: RE: Lagged dependent variable with fixed effects regression***From:*"Dithmer, Jan" <jdithme@food-econ.uni-kiel.de>

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