[Gretl-devel] Re: panel FE with constant dep var: what does gretl do?

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. >