Am 06.03.2023 um 19:21 schrieb Cottrell, Allin:
> On Fri, Mar 3, 2023 at 10:52 AM Sven Schreiber
> <sven.schreiber@fu-berlin.de> wrote:
>>
>> I suspect that the lrvar function (long-run variance estimation) is
>> slightly wrong in the panel case. Consider the following example
>> [...]
>
> Well, it's more than slightly wrong: the current function is only
> applicable to straight time-series data and should not be allowed
> for panel data.
>
> As a stop-gap measure I've put in a block against using it on panel
> data, with a specific error message. (In git, will shortly be in
> snapshots.) But what, if anything, _should_ we return for panel
> data? An average (weighted or unweighted) of the per-unit long-run
> variance values (as per your script), or a vector of per-unit values,
> or ...?
Thanks, Allin. Yes, with panels it gets more complicated, as
always. The two possibilities that you mention are the most
natural ones, I guess. (To be clear, my script didn't consider
different per-unit true values, but used the average of the
per-unit statistics to estimate the homogeneous value.) In
principle one could also impose homogeneous means instead of doing
a fixed-effects type demeaning.
cheers
sven