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.
thanks
sven