[Panel data post estimation]
by JOSE FRANCISCO PERLES RIBES
This morning a friend estimating panel data using Stata asked me how to
select among different estimated models. I'm not expert in panel data
analysis neither a Stata user, but I have replied the possibility to use
the Hausman test to choice between FE and RE.... and among the different FE
and RE estimated models to use the adjusted R2, AIC or BIC criteria to
select the best one....
He replied me that he cannot get the AIC and BIC criteria for RE models,
because Stata warns:
"estat ic (the command Stata uses to provide AIC and BIC) is not
appropriate after xtreg with the be , pa, or re (random effects) option"....
where be = (between effects)
and re=(random effects)
After looking for different Stata forums I have found other users with the
same issue...but not solution and explanation have been found on this topic.
However, I have just checked that Gretl provides and AIC and BIC values
after random effects and between effects estimation.
Somebody has a clue because Stata warns about this AIC and BIC criteria
with this models??? Are the values provided by Gretl reliables to compare
this kind of models or there are a better criteria to compare them?? Could
be this issue due for different estimation methods in Stata and Gretl for
Thanks in advance and sorry for any inconvenience.
University of Alicante (Spain)