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


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?
> > *
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