Re: [Gretl-devel] panel data issues
On Sun, 5 May 2013, Sven Schreiber wrote:
3: About pshrink(): A version that returns a full panel series (with
repeated values like pmean() etc.) could be useful -- practical example:
in growth regressions one needs the initial value of output-per-worker
as a regressor. Also maybe it should be called "pfirst()" or something
instead.
4: Time-constant variables: I'm not sure how to create variables that
only vary along the cross-section, like it is done with the built-in
pmean() etc. functions. Or how to append them (like the user guide p.114
"adding a time series", but along the other panel dimension).
This can be done quite compactly by using the "replace" function: to
illustrate this, I'll use your point 3.
<hansl>
open abdata.gdt --quiet
series first_n = replace($unit, values($unit), pshrink(n))
</hansl>
Probably not the most intuitive thing in the world, though, I must admit.
5: Constant in a fixed-effects regression: I don't understand
what gretl
reports as the global constant term in a fixed-effects model, and it
doesn't seem to be defined in the guide. It's also confusing that gretl
complains if one wants to discard the constant in the specification
dialog (when fixed effects are selected). (But obviously gretl
estimates the right thing as the comparison with explicit LSDV
regression shows, just the constant is mysterious -- even if it's the
average of the fixed effects it's not clear where the standard errors
come from.)
What we run internally can be exemplified as
<hansl>
open abdata.gdt --quiet
panel n const w k ys
depvar = n - pmean(n) + mean(n)
list indvars = const
loop foreach i w k ys
x_$i = $i - pmean($i) + mean($i)
list indvars += x_$i
end loop
ols depvar indvars
</hansl>
with an obvious degrees-of-freedom correction for the covariance matrix. I
don't like it very much either, but at some point we decided that since
the constant in a fixed effects regression is conventional anyway, we
might as well ensure compatibility with Stata.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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