Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Christopher Baum <kit.baum@bc.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
re: Antwort: re: Antwort: re: st: xtreg xtregar |

Date |
Tue, 4 Jan 2011 15:53:06 -0500 |

<> For the simplest model (an AR(1) in y_t), the Nickell bias is of the order - (1+\rho) / (T-1), where \rho is the coefficient on the LDV and T is the number of timeseries observations. If the true \rho is 0.5, and T=10 (a long panel by DPD standards!) the bias is -0.167, or 33% of the true coefficient, so that its estimate is seriously attenuated. The inclusion of additional regressors does not remove this bias; indeed, if the regressors are correlated with the lagged dependent variable to some degree, their coefficients may be seriously biased as well. Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**Antwort: re: Antwort: re: st: xtreg xtregar** - Next by Date:
**Re: st: simple plot of fitted probabilities** - Previous by thread:
**re: Antwort: re: st: xtreg xtregar** - Next by thread:
**st: sampling program help** - Index(es):