st: Re: pooled vs panel data

[Kit Baum <baum@bc.edu>]

If you mean that you did

regress y x1 x2 x3
xtreg y x1 x2 x3, fe

and the F-test at the foot of xtreg said that there are significant  
differences between the intercepts for the units of the panel, then  
the pooled OLS regression involves placing a number of inappropriate  
constraints on the fixed effects regression. When you place binding  
constraints on a regression, the coefficients change. When those  
constraints are soundly rejected by the data, it is a bad idea.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


On Jul 22, 2006, at 2:33 AM, Jeff wrote:


> I ran a few MLE regressions and set them up first as pooled data  
> and second
> as panel data. The regression coefficients were almost identical,  
> only a
> variation of a few decimal points, and the standard errors were  
> much lower
> in the panel regression. I was expecting the coefficients to still  
> be an
> unbiased estimate in both regressions, but I expected that they  
> should be
> slightly different from each other. Is this unusual?
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