[Gretl-devel] Re: panel FE with constant dep var: what does gretl do?
On Mon, 15 Jul 2019, Artur Tarassow wrote:
Am 15.07.19 um 19:18 schrieb Sven Schreiber:
> Am 15.07.2019 um 18:13 schrieb Allin Cottrell:
>> On Sun, 14 Jul 2019, Sven Schreiber wrote:
>>
>>> I think it's clear that FE and RE are the most important use cases,
>>> probably covering 95-99% of all needs here. In principle, however, I
>>> guess that at least two more variants could be easily covered: First
>>> there's 'panel ... --pooled', because it's just a special
case when
>>> there are no individual effects.
>> I've now added (via modtest --autocorr) the serial correlation test
>> that Wooldrige recommends for pooled OLS (see pp. 176-7 of his panel
>> book). It's based on an auxiliary pooled regression in which the
>> lagged residual is added to the original specification; the test is
>> just a (robust) t-test on the lag.
Thanks, Allin!
@Giuseppe: I guess, this makes the wooldridge_test_serial package obsolete,
right? Or does it cover some 'special' case?
The gfn function allows testing a panel-model _specification_ for
serial correlation, without actually estimating the model first. In
that respect it's like xtserial in Stata. Whether that's sufficient
reason to keep the package in play, I'm not sure.
Allin