Not a full answer, anyway: To run Hausman's test you need to have a number of cross-units higher than a number of variables. Good luck, Bruno Thiago Tomio
_____ De: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces(a)lists.wfu.edu] Em nome de Julio Acuña Enviada em: segunda-feira, 7 de junho de 2010 14:12 Para: gretl-users(a)lists.wfu.edu Assunto: [Gretl-users] * * Urgent question regarding Panel Regressions- Fixed and Random Effect Sorry for the last email, dont know what went wrong. Here´s my quesitons: I´m running a panel regression, with 5 different units, 13 observations each for a total of nT=65. 1. When I test for fixed effects, the test results shows no fxed effects presents, thus common intercept. The thing is that with this regression everything is perfect: normally distributed errors, homescedastic erros, highly significant coefficiets, etc. With the above mentioned, according to theory I should be able to just run OLS ( pooled regrssion) because there are no fixed effects, But when I do that I get heterescedastic errors, i fix that but I have to modify my model afterwards. THe questions are: 1. Is panel regression using some kind of robust estimation technique? such as newey west cov matrix? 2. WHen I test for random effects i get the following message: "not enough degrees of freedom", are we using the standard hausman test for random effects? thanks for everyhtihng , salu2!! _____ Hotmail: Powerful Free email with security by Microsoft. Get it now. <https://signup.live.com/signup.aspx?id=60969>
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Not a full answer, anyway:
To run Hausman's test you need to have a number of
cross-units higher than a number of
variables.
Good luck,
Bruno Thiago Tomio De: gretl-users-boun...@lists.wfu.edu [mailto:gretl-users-boun...@lists.wfu.edu] Em nome de Julio Acuña Enviada em: segunda-feira, 7 de junho de 2010 14:12 Para: gretl-us...@lists.wfu.edu Assunto: [Gretl-users] * * Urgent question regarding Panel Regressions- Fixed and Random Effect Here´s my quesitons: I´m running a panel regression, with 5 different units, 13 observations each for a total of nT=65. 1. When I test for fixed effects, the test results shows no fxed effects presents, thus common intercept. The thing is that with this regression everything is perfect: normally distributed errors, homescedastic erros, highly significant coefficiets, etc. With the above mentioned, according to theory I should be able to just run OLS ( pooled regrssion) because there are no fixed effects, But when I do that I get heterescedastic errors, i fix that but I have to modify my model afterwards. THe questions are: 1. Is panel regression using some kind of robust estimation technique? such as newey west cov matrix? 2. WHen I test for random effects i get the following message: "not enough degrees of freedom", are we using the standard hausman test for random effects? thanks for everyhtihng , salu2!! Hotmail: Powerful Free email with security by Microsoft. Get it now. |
