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re:Re: st: Question on xtgls
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
re:Re: st: Question on xtgls
Date
Mon, 12 Dec 2011 21:41:04 -0500
<>
Steve said
I'm not expert in this area, Phil, but the -help- references www.stata-journal.com/sjpdf.html?articlenum=st0084. There panels get dummy variables, -i.e. different means.
Steve
[email protected]
On Dec 9, 2011, at 1:38 PM, Bromiley, Philip wrote:
I'm having a little trouble understanding xtgls. The documentation (e.g., page 154 of Stata 12 XT manual) seems to make clear that it is not putting in fixed or random effects for panels but rather is just allowing a complex error structure within panels and across panels.
This seems like a different model that what we normally mean by panel estimators. We normally want to allow the mean error to vary by panel (in the u(i,t) term).
However, it seems like xtgls retains the assumption that the mean error has expectation zero (with the exception of serial correlation), even though it allows the variance and so forth to vary by panel.
What am I missing?
I'm not sure why the reference to Blackwell's SJ article appears. I think Steve is wrong, in that the [xt] xtgls shows that xtgls with certain options reproduces regress. Consider
webuse grunfeld, clear
regress invest mvalue kstock
xtgls invest mvalue kstock, panels(iid) corr(independent) nmk
xtreg invest mvalue kstock, fe
xtgls invest mvalue kstock i.company, panels(iid) corr(independent) nmk
Note that the regress and first xtgls are identical in terms of e(b) and e(V), and the xtreg, fe and second xtgls, with explicit fixed effects, are likewise identical. So xtgls is
not a fixed-effect estimator, in that it does not allow any coefficient to vary over the panel, including the intercept (unless you put in dummies, of course).
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
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