Re: [Gretl-users] Fixed effects forecast
Hi again.
after investigating further - because the results were quite
unsatisfactory - I found out that:
1) there is no memory problem with creating the unit dummies if done via
'dummify' (took millisecs for 865 dummies).
Using 'genr unitdum' even did not succeed when shrinking down the
dataset to only include 30 units. I guess there is some bug.
2) As theory tells us the FE and LSDV estimates and standard errors are
the same:
FE OECD LSDV OECD
const -37.89**
(6.390)
l_rgdppc1 1.388** 1.388**
(0.1428) (0.1428)
l_pop1 1.105** 1.105**
(0.4690) (0.4690)
l_rgdppc2 1.412** 1.412**
(0.1586) (0.1586)
l_pop2 2.030** 2.030**
(0.3567) (0.3567)
rta_rw 0.2072** 0.2072**
(0.04146) (0.04146)
EU 0.3190** 0.3190**
(0.03560) (0.03560)
3) It does make a huge difference if one applies the mentioned formula
of $V[\widehat{u_{ijt}}]$ to the two models:
FE forecast -> not jet available in GREL
own calculation for se 1.55001760177788 ->
what I meant with unsatisfactory
LSDV forecast
obs l_exp1to2 forecast se
95%-interval
1:01 23.264466 22.893993 0.382118 22.144998 - 23.642989
own calculation for 0.382118174334948
Fortunately I now can use the LSDV estimator. But the estimation process
for LSDV takes really long compared to FE.
Best
Leon
Hi Allin.
the LSDV method in my dataset does not work because GRETL stops in the
'genr unitdum' command with 'out of memory'.
Then I have to restart GERTL in order to work further.
Ok. thanks so far. I gonna use the mentioned formula for calculation
of confidence intervals in FE model.
Have a nice weekend
Leon
On Tue. 9 Aug 2011. Leon Unger wrote:
>> I want to calculate$V[\widehat{u_{ijt}}]$ for *Fixed Effect *models.
>> In a first step I reproduce the forecast error variance of a pooled OLS
>> model.
>> Using the following formula
>>
>> $V[\widehat{u_{ijt}}] = V[{\epsilon}]
>> +{{x_{ijt}}^{'}*V[\hat{\beta}]*{x_{ijt}}$
>>
>> which provided the same values as GRETL produces with $fcerr.
>> Can I apply the same calculation after the Fixed Effect?
> That would, I think, ignore the uncertainty due to estimation
> of the fixed effects. One option would be to estimate the
> fixed effects model manually, by adding the unit dummies to
> the dataset and applying OLS (gretl estimates the FE model
> by de-meaning the data).
>
> Allin Cottrell
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