[Gretl-devel] Re: panel FE with constant dep var: what does gretl do?
On Sat, 13 Jul 2019, Artur Tarassow wrote:
Am 12.07.19 um 22:11 schrieb Allin Cottrell:
> On Fri, 12 Jul 2019, Sven Schreiber wrote:
>
>> Am 12.07.2019 um 20:05 schrieb Allin Cottrell:
>>
>> Right. The point is more pragmatic in a programming context, as opposed
>> to interactive use: We came across it with the wooldridge_test_serial
>> package. It's just a matter of how to handle the strange corner case. As
>> things stand, gretl throws an error which interrupts everything. So the
>> authors would have to use 'catch' to continue gracefully after that
error.
>
> Since wooldridge_test_serial consists of a single, quite simple function,
> it seems that it could be turned into a built-in test if we think that's
> worthwhile.
Good idea, Allin! In case it does not mean too much work for you.
That's now done in git. "modtest --autocorr" (or the
"Autocorrelation" menu item under Tests in the model window) gives
the Wooldridge test, provided the estimator is fixed or random
effects and the panel has a time-series length of at least 3.
However, in another private chat, Sven has posed the question whether
Wooldridge's test is really only valid for RE-/FE-type of panel models. Once
this is clarified it may be applicable for a larger class of panel models.
OK, I'll stay tuned on that point.
Allin