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Re: st: Residuals in Panel Data regression


From   Prakash Singh <[email protected]>
To   [email protected]
Subject   Re: st: Residuals in Panel Data regression
Date   Mon, 23 Apr 2012 23:05:02 +0530

Dimitri,
As far as my understanding of statistics and econometrics goes when we
use fixed effect model there are bright chances that assumptions of
i.i.d about the error term will be violated  and thus precisely you
can't use reliably t-statistics. Now whether the assumption is
violated has be first tested before making this judgement. Which means
that after estimation you need to test for appropriation of fixed
effect model.

Hope it will help you.


Prakash

On Mon, Apr 23, 2012 at 10:39 PM, D. Demetriou <[email protected]> wrote:
> Prakash,
>
> Thank you for getting back to me!
>
>
> I am using Fixed-effects regression models (xtreg, fe) and I just want to
> know what properties do my regression residuals need to have in order for me
> to be able to use reliably t-statistics (for significant coefficients),
> F-statistics for joint significance, etc. for example: is normality
> important ? ( i think yes since t-statistics are designed for normal data).
> And so on...
>
> The key question here is: do the conditions/asumptions (regarding error
> process) differ between OLS and FE??
>
> Yours,
>
> DD
>
>
>
>
>
> Dimitri, it would be nice if you can restructure your question as in
> what do you mean by it and what do you want to do.
>
>
>
> Prakash
>
> On Sat, Apr 21, 2012 at 3:28 AM, D. Demetriou <[email protected]> wrote:
>>
>> Hi everyone,
>>
>> Hope my email finds you all well.
>>
>> Just a quick question here: What requirements should one have on the
>> residuals of panel data regressions in order to be able to use reliably
>> t-statistics etc.
>>
>> Do these differ if one uses fixed-effects regression rather than POLS?
>>
>> Thank you all in advance!
>>
>> Yours,
>>
>> Dimitri
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