[Gretl-devel] Re: panel FE with constant dep var: what does gretl do?
Am 12.07.2019 um 19:00 schrieb Allin Cottrell:
On Fri, 12 Jul 2019, Sven Schreiber wrote:
Hm, there might be a slight inconsistency compared to a standard OLS
specification where the dep var is constantly zero. There gretl refuses
to continue, and in isolation I can see the reason for that. But in a
panel context where the dep var is time invariant and you apply the
within transform, then it is also identical to zero, and here gretl
produces something. I guess the difference is historical, but maybe we
want to rationalize things in this area.
Actually, in the fixed-effects case a time-invariant dependent
variable is in general not all zeros. It goes to zero on subtraction
of the group means but, as in stata, we add back in the global mean.
If it were truly all zeros estimation would fail as in OLS.
OK, so it's not a pure within transformation. But still: If the dep var
is constant and non-zero, we set all other regressor coeffs to zero
(except the constant term). Fine. But if the dep var is all zeros, one
could also set all regressor coeffs to zero, including the constant,
instead of throwing an error. What makes the former case that much
different from the latter? (The estimated residuals vanish in both cases.)
thanks
sven