Re: [Gretl-users] Corr(\alpha_{i},X_{it}) in FE panel models?

[Clive Nicholas]

Allin,

Thanks very much for the clarification. All sorted now. :)

Clive

On 31 January 2013 01:42, Allin Cottrell <cottrell(a)wfu.edu> wrote:

> On Wed, 30 Jan 2013, Clive Nicholas wrote, in response to:
>
> >> In the gretl output "rho" is the first-order autocorrelation
> >> of the residuals. Perhaps you're thinking of the random
> >> effects model, for which we have to calculate the within and
> >> between error variances (to get what gretl calls "theta", the
> >> quasi-demeaning coefficient). In that case we do print both
> >> variances.
>
> the following:
>
> > Sorry, but I don't see reference to a 'quasi-demeaning coeffiecent'
> > anywhere in the results, and any reference to 'theta' in the manual is in
> > the context of ARMA models [...]
>
> Quasi-demeaning is relevant only in the context of the random
> effects model, so nothing pertaining to this appears in gretl's
> fixed-effects output. The "theta" is question is discussed in
> section 17.1 of the Gretl User's Guide, on panel-data models.
>
> For the fixed-effects or "within" model one just uses
> straightforwardly de-meaned data.
>
> Allin Cottrell
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>



-- 
Clive Nicholas (clivenicholas.posterous.com)

[Please DO NOT mail me personally here, but at <clivenicholas(a)hotmail.com>.
Please respond to contributions I make in a list thread here. Thanks!]

"My colleagues in the social sciences talk a great deal about methodology.
I prefer to call it style." -- Freeman J. Dyson

Allin,

Thanks very much for the clarification. All sorted now. :)

Clive

On 31 January 2013 01:42, Allin Cottrell <cottr...@wfu.edu> wrote:

On Wed, 30 Jan 2013, Clive Nicholas wrote, in response to:

>> In the gretl output "rho" is the first-order autocorrelation
>> of the residuals. Perhaps you're thinking of the random
>> effects model, for which we have to calculate the within and
>> between error variances (to get what gretl calls "theta", the
>> quasi-demeaning coefficient). In that case we do print both
>> variances.

the following:

> Sorry, but I don't see reference to a 'quasi-demeaning coeffiecent'
> anywhere in the results, and any reference to 'theta' in the manual is in

> the context of ARMA models [...]

Quasi-demeaning is relevant only in the context of the random
effects model, so nothing pertaining to this appears in gretl's
fixed-effects output. The "theta" is question is discussed in
section 17.1 of the Gretl User's Guide, on panel-data models.

For the fixed-effects or "within" model one just uses
straightforwardly de-meaned data.

Allin Cottrell

_______________________________________________
Gretl-users mailing list
gretl-us...@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users

--
Clive Nicholas (clivenicholas.posterous.com)

[Please DO NOT mail me personally here, but at <clivenicho...@hotmail.com>. Please respond to contributions I make in a list thread here. Thanks!]

"My colleagues in the social sciences talk a great deal about methodology. I prefer to call it style." -- Freeman J. Dyson