Lorena Barberia wrote:
> I was trying to implement the BIC per the recommendation of an article by
> Beck and Katz titled "Time-Series-Cross-Section Issues: Dynamics, 2004" that
> advocates and calculates the BIC for different specifications of a pooled
> OLS regression with panel corrected standard errors (e.g. AR1 model vs.
> lagged dependent variable model with standard errors estimated with XTPCSE).
> In the article, the authors argue that the BIC performs better than the
> F-test for testing if fixed effects are necessary. The paper can be
> downloaded from Nathaniel Beck's website at NYU. It should be noted that the
> authors do not advocate or apply the BIC to GMM. I had also read the BIC
> note in Stata.
>
> I will look into this further. Your comments have been very helpful.
I'd look into it by asking Nat Beck himself how he implemented this
for -xtpcse- in Stata. He's normally good on e-mails.
--
Clive Nicholas
[Please DO NOT mail me personally here, but at
<[email protected]>. Thanks!]
"Courage is going from failure to failure without losing enthusiasm."
-- Winston Churchill
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