Wald test in models for panel data
by Mariusz Doszyń
Hello,
Do you know formula for Wald test statistic (of joint significance of 0-1 time variables) in case of models for panel data with fixed effects?
I'd be very gateful for help,
Best wishes,
Mariusz
Poland
18 years
- 2
- 1
Questions about estiamtors in models for panel data
by Mariusz Doszyń
Dear Gretl users!
I've got a question in context of (fixed effects) panel data models in case were there is a common constant, cross and time-specific effects (see Green, Econometric Analysis, 2003, page 291): yit=x[it]'*beta+m+alpha[i]+gamma[t]+e[it]. m is a common constant, alpha[i] - group specific intercept, gamma[t] - time effects (0-1 dummy variables), x[it] contains independent variables. Unfortunately I can't find formulas for estimators of parameters of that kind of models. I'd be very grateful for help (which I need very much because of deadlines).
Thank you very much (in advance)....
Mariusz Doszyń
Poland
18 years
- 3
- 3
System estimation
by Franck Nadaud
Hello listers ! greetings from Paris !
Let me ask a somewhat technical question about system estimation in GRETL.
I am currently working on AIDS models to be estimated as sytems.
So I use the command :
system
...
...
end system
with restrictions inside. However those restrictions imply a singular
covariance matrix. In other pacakges (SAS for example) estimation is done by
deleting one equation, and the missing coefficient is recovered by the
restrictions.
I would like to know how GRETL handles such cases, and more specifically whith
which methods.
After some trials, it seems that GRETL handles quite well, doing neatly all
the computation and printing results as if there was no singularity problem.
Is it right ?
I would like to know if it is possible in system estimation to recover all the
coefficients and standards errors, because i have to compute the AIDS
elasticities.
thanx a lot and forward to read you
cheers
Franck
--
Franck Nadaud
Economiste
CIRED
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94736 Nogent-sur-Marne Cedex
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France
18 years
- 3
- 7