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Re: st: panel command if T = N

From   "Mark Schaffer" <[email protected]>
To   [email protected]
Subject   Re: st: panel command if T = N
Date   Wed, 10 Nov 2004 17:03:33 -0000


Subject:        	st: panel command if T = N
To:             	[email protected]
From:           	[email protected]
Date sent:      	Wed, 10 Nov 2004 16:28:26 +0100
Send reply to:  	[email protected]

> Dear All,
> a good friend of mine would like to estimate a model with aggregate data (
> countries) with yearly observations. In this synthetic panel he has
> approximately as many Ts as Ns ( countries), about 20 Ts and 20 Ns.I guess
> he will do fixed or random effects.
> I would like to ask the wise Stata Listers which stata estimation procedure
> they can recommend him. Do the stata panal commands also work properly for
> such a case when N = T ?

It's not quite an answer to your question, but I would recommend 
caution in using the random effects estimator.  RE requires the 
between estimator to be consistent, and that in turn requires T to be 
"big".  20 is a long way from infinity!

Hope this helps.


> Thanks a lot,
> Justina

Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator

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