Re: [Gretl-users] Problem with panel diagnostics
On Thu, 10 Feb 2005, jack wrote [many helpful things].
Thanks for the clear exposition, Jack.
I feel that we ought to have a panel estimation command that, given a
list
of regressors:
1) spits out the OLS (pooled) estimate;
2) performs within estimation with time-varying regressors only, and
prints the results out;
3) does GLS for all regressors;
4) computes and prints the Breusch-Pagan poolability test (aka OLS vs
rest of the world) and the Hausman test (aka GLS vs within).
This is now on the way. It's not a single command (you start with
"pooled" then do "hausman"), but
* The "hausman" command now only uses time-varying regressors in the
fixed effects model (gretl detects which ones are time-varying).
* The Hausman test is restricted to the slope coefficients for the
time-varying regressors.
* The random effects model (which is printed as part of the
"hausman" output, provided the group means regression can be
calculated) includes all regressors.
This is in CVS; it's also in the current win32 snapshot
ftp://ricardo.ecn.wfu.edu/oub/gretl/gretl_install.exe
I'd be glad if people can test the new code and see if it works!
Allin Cottrell