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st: consistency of fixed effects and within estimator


From   Sharooon <treeshar@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: consistency of fixed effects and within estimator
Date   Fri, 21 Sep 2012 09:35:10 -0700 (PDT)

I want to run a regression using panel data where xit is correlated with epsilonit, however, xi(t-1) is not correlated with epsilonit. I was using the within estimator to do this, and I would have liked to include lagged yit, however I read this is inconsistent with the within estimator. My question, is whether or not using xi(t-1) is also inconsistent in this setting?

Furthermore, if I were to use the dummy variable estimator, I get the same point estimates for my beta's but bigger standard errors. Do I also have consistency problems here? Can I used yit-1 in the dummy variable context? What about xit-1? 

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