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RE: st: OLS pooled regression


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: OLS pooled regression
Date   Thu, 12 Jul 2012 11:41:39 +0200

However, since the number of time periods in your data is very small, you cannot rely on consistency.


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu



-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of DE SOUZA Eric
Sent: 12 July 2012 09:47
To: statalist@hsphsun2.harvard.edu
Subject: RE: st: OLS pooled regression

You have been informed that with a lagged dependent variable as regressor, pooled OLS, FE, RE, and FD (first difference) are all inconsitent, and that you have to have recourse to dynamic panel models. I posted a link to a course which shows all this and shows (very briefly) how to use xtabond2. 


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Erhan Kilincarslan
Sent: 11 July 2012 22:30
To: statalist@hsphsun2.harvard.edu
Subject: RE: st: OLS pooled regression

Thanks Karen.
I set my basic model as follows; Y x l.y ..N= 875 and T=11 years. It s unbalanced data set. I run OLS pooled and have some normality and linearity problems. Then, I run FE and RE. FE overruled both OLS and RE. But as I included lagged dependent variable, and it is the case of large N small T, it has got some endogeneity related issues, right? Then, I tired dynamic model, namely xtabond. Then, it gave more or less the same result with FE and I think it got some autocorrelation problems etc.. So, should I  go for RE? Also, if OLS has normality and linearity problems, then running FE or RE sort out that problems or not? Best Erhan 

----------------------------------------
> Subject: Re: st: OLS pooled regression
> From: mathkaren@me.com
> Date: Wed, 11 Jul 2012 13:03:27 -0700
> To: statalist@hsphsun2.harvard.edu
>
> I will suggest run GLS first, but can you provide more information about your settings?
>
> Best regards,
>
> Karen
> On Jul 11, 2012, at 12:59 PM, Erhan Kilincarslan wrote:
>
> > It seems like I have normality and linearity issues with my OLS pooled regression results. So, what should I do? Should I run Fixed Effects or Random Effects instead? If I do, then would I be sorting out normality and linearity problems?
> > *
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