Scott,
I cannot use a random effects estimator because of strong correlation
between the individual effects and the regressors - heterogeneity bias
according to Chamberlain. On the other hand, the fixed effects estimator
throws out all the between variation. I know that there are ways of taking
into account the heterogeneity bias, but do not know how to do it - that is
why I wanted to know if anybody else does.
Markus
-------------
> Greetings,
>
> I posted this question some time ago, without any reaction. Therefore, I
> will try to make it clearer.
>
> I am estimating a macroeconomic panel data model, and I am looking for an
> estimator that accomodates both the within and the between dimensions.
Isn't the random effects estimator (xtreg, re) a weighted averaged of the
between and within results?
Have you taken look at xtgee - it allows for variety of correlation
structures
and semi-robust standard errors, though it is a population-averaged
estimator.
I hope this helps,
Scott
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