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From |
Jean-Fran�ois Godin<[email protected]> |

To |
<[email protected]> |

Subject |
Re: st: Re: fixed effects models |

Date |
Sun, 19 Oct 2003 23:31:45 -0400 |

Title:

Kit wrote:

"Random-effects models can contain time-invariant variables (but have their own set of issues)."

Does anyone has some references or discussion papers on the “issues” of time-invariant variables in random-effects models?

Jf Godin

Ph.D Candidate

Le 19/10/03 19:08, «?Christopher F Baum?» <[email protected]> a écrit?:

> On Sunday, October 19, 2003, at 02:33 AM, Giorgio wrote:

>

>>

>> 1) I've tried to use xtregar,fe but I had a problem: if I use

>> time-invariant

>> variables I receive this error message

>> conformability error;

>> You have issued a matrix command attempting to combine two

>> matrices that are not conformable, for example, multiplying

>> a 3x2 matrix by a 3x3 matrix. You will also get this message

>> if you attempt an operation that requires a square matrix and

>> the matrix is not square.

>> When I do not use them I'm able to use xtregar,fe...unfortunately my

>> time-variant variable are really important. Where could the problem be?

>>

> Fixed effects models (with individual effects) cannot contain

> time-invariant variables; it is that simple. Random-effects models can

> contain time-invariant variables (but have their own set of issues).

>

>> 2) without the time-invariant variables I've obtained the values

>> rho_ar is 0.33224443.

>> the modified Bhargava et al. Durbin-Watson = 1.3479768

>> and the Baltagi-Wu LBI = 1.4145928

>>

>> Unfortunately I'm not able to read this tests. Are they simple DW?

>> Hence,

>> since they are closed to 2, could I assume that there is no first order

>> aoutocorrelation? Could you suggest to me some books or paper to read

>> these

>> tests?

>>

> The tests are not standard D-W. Their motivation, and complete

> references to the underlying econometric literature, are provided in

> the Cross-Sectional Time-Series reference manual (for V8) or the

> Reference Manual (for V7). Sometimes there is no substitute for a

> careful reading of Stata's excellent documentation. I would venture

> that a sizable fraction of the price charged for the software can be

> related to the documentation; good documentation (at the level of a

> fine textbook) is expensive to produce and maintain.

>

>> 3) Given that I've been analysing a Gravity Model, I presume to have

>> "correlation across panel units". Could you suggest to me a test or a

>> procedure to test this type of correlation, given N>T?

>>

> No. You could of course look at the matrix of pairwise correlations of

> each pair of panel units, but I do not know of a test that would allow

> you to combine that (N)(N+1)/2 set of pairwise correlations among

> T-element vectors into a single statistic. That is not to say that it

> may not exist, but I am not aware of it.

>

> Kit

>

> *

> * For searches and help try:

> * http://www.stata.com/support/faqs/res/findit.html

> * http://www.stata.com/support/statalist/faq

> * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Re: fixed effects models***From:*Christopher F Baum <[email protected]>

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