On Tue, 9 Aug 2011, Leon Unger wrote:
> I want to calculate $V[\widehat{u_{ijt}}]$ for *Fixed Effect *models.
> In a first step I reproduce the forecast error variance of a pooled OLS
> model.
> Using the following formula
>
> $V[\widehat{u_{ijt}}] = V[{\epsilon}]
> +{{x_{ijt}}^{'}*V[\hat{\beta}]*{x_{ijt}}$
>
> which provided the same values as GRETL produces with $fcerr.
> Can I apply the same calculation after the Fixed Effect?
That would, I think, ignore the uncertainty due to estimation
of the fixed effects. One option would be to estimate the
fixed effects model manually, by adding the unit dummies to
the dataset and applying OLS (gretl estimates the FE model
by de-meaning the data).
Allin Cottrell
