On Thu, 27 Dec 2012, Riccardo (Jack) Lucchetti replied:

[...]

> When you write restrictions for the "restrict" command, no coefficients must
> appear on the right-hand side of the equality. This is stated in the
> documentation.
>
>> Test statistic: F(3, 1016) = 3.27298, with p-value = 0.0205637
>>
>> This test would appear to comprehensively reject the RE model in favour of
>> retaining the FE model. Or does it? Is this an acceptable test in place of
>> the Wald test for jointly equal parameters that I can't run in -gretl-?

Allin Cottrell wrote:

I'd just add to Jack's reply: this _is_ a Wald test for
jointly equal parameters (the F-form of the test). If you
multiply the test statistic by 3 and refer it to the
chi-square(3) distribution you get the same p-value as given
above.

Excellent stuff - I thought I was on the right track! Nice to be able to deploy some correct logic for once.

Thanks for pulling me up on not reading the documentation, but in my defence: (a) I've only just installed -gretl-; (b) it's Christmas, so I've not had much of a chance to peruse what is a very large users' guide; and (c) I did look at the program help on restrictions (although clearly they're not as comprehensive as that laid out in the guide).

If I may, I had another quick query about panel-corrected standard errors. I'm delighted you've included them in -gretl-, but I've had no luck in fitting any fixed-effect models with PCSEs (N=47, T=36, NT=795, with ten X variables; all bar the first and last of the time dummies were included; there was no lagged dependent variable). Every time I do, the model does run, but with the message "Could not compute Beck-Katz errors". I'm sure the reasons for not doing so are valid, but no reason was given at all. Why is this? Also, which standard errors are reported instead?

Thanks again. :)