[Gretl-devel] Re: panel FE with constant dep var: what does gretl do?
On Fri, 12 Jul 2019, Sven Schreiber wrote:
Am 12.07.2019 um 16:15 schrieb Allin Cottrell:
>
> Neither stata nor R reject this specification, but the "arguably
> strange" output from gretl is indeed an artifact of sub-par numerical
> precision in the unbalanced case using Cholesky decomposition. I've
> switched to QR for this task and we now show something similar to
> stata:
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.
Allin