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Re: RE : st: Fixed-effects, unbalanced panel and time-invariant va=

From   Vera Troeger <>
Subject   Re: RE : st: Fixed-effects, unbalanced panel and time-invariant va=
Date   Tue, 17 Oct 2006 16:14:14 +0100

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yes, it is an ongoing discussion. however, the SEs of the latest version
should be correct, at least we tested this by MC simulations. the SEs
for time varying variables are calculated with a demeaned VC matrix and
the degrees of freedom are corrected for regressors plus n-1 unit
effects. the SEs for time invariant variables are pooled ols with
corrected degrees of freedom for no of regressors plus n-1 unit effects.
it is described in the paper. with simulated data the SEs were correct
for various settings and specifications.

PETITT Barbara schrieb:
> Thanks, Vera. Did you get my other message about the computation of the s=
tandard errors for xtfevd? Somehow, it looks like the coefficient are fine,=
  but the standard errors and the t-stats are weird. Thanks again. Barbara.
> -----Message d'origine-----
> De : [mailto:owner-statalist@hsphsun=] De la part de Vera Troeger
> Envoy=E9 : mardi 17 octobre 2006 16:12
> =C0 :
> Objet : Re: st: Fixed-effects, unbalanced panel and time-invariant variab=
> xtfevd does work for unbalanced panels in the same way as fe. Vera
> PETITT Barbara schrieb:
>> Hello,
>> I have an unbalanced panel (for some firms, I have three years of
>> data, for others, two years or even only one year). One of my
>> independent variables is a time-invariant variable and with
>> fixed-effects models, its gets dropped. I contemplated using the fixed
>> effects vectorxtfevd decomposition (xtfevd), but does it work for
>> unbalanced panel? Otherwise, is there any alternative? Thank you.
>> Barbara.
>> *
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Vera E. Troeger
Lecturer in Political Science
Government Department
University of Essex
Wivenhoe Park
Colchester CO4 3SQ

phone: +44 (0)1206 872509

*   For searches and help try:

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