9:16 p.m.
In my case adding the option "balanced" does not solve the issue:
open greene14_1.gdt
genr timedum
smpl year > 1975 --restrict --balanced
panel C 0 Q PF LF dt_*
panel C 0 Q PF LF --time-dummies
The result is:
gretl version 1.9.13
Current session: 2013-11-18 22:13
? smpl year > 1975 --restrict --balanced
Full data set: 90 observations
Current sample: 1:1 - 6:9 (n = 54)
? panel C 0 Q PF LF dt_*
Model 1: Fixed-effects, using 54 observations
Included 6 cross-sectional units
Time-series length = 9
Dependent variable: C
Omitted due to exact collinearity: dt_15
coefficient std. error t-ratio p-value
----------------------------------------------------------------
const 2.91847e+06 2.87409e+06 1.015 0.3165
Q 3.40796e+06 466556 7.305 1.12e-08 ***
PF 1.35105 3.12512 0.4323 0.6680
LF -7.84170e+06 1.74805e+06 -4.486 6.82e-05 ***
dt_7 206516 1.63077e+06 0.1266 0.8999
dt_8 176081 1.48931e+06 0.1182 0.9065
dt_9 362840 1.37686e+06 0.2635 0.7936
dt_10 172625 847157 0.2038 0.8397
dt_11 -106171 182687 -0.5812 0.5647
dt_12 -73608.8 590531 -0.1246 0.9015
dt_13 -65699.8 399724 -0.1644 0.8703
dt_14 -69504.2 183768 -0.3782 0.7074
Mean dependent var 1512112 S.D. dependent var 1348282
Sum squared resid 2.07e+12 S.E. of regression 236406.3
R-squared 0.978537 Adjusted R-squared 0.969256
F(16, 37) 105.4330 P-value(F) 6.67e-26
Log-likelihood -734.5735 Akaike criterion 1503.147
Schwarz criterion 1536.960 Hannan-Quinn 1516.187
rho 0.560452 Durbin-Watson 0.853544
Test for differing group intercepts -
Null hypothesis: The groups have a common intercept
Test statistic: F(5, 37) = 5.4162
with p-value = P(F(5, 37) > 5.4162) = 0.000777149
? panel C 0 Q PF LF --time-dummies
Model 2: Fixed-effects, using 54 observations
Included 6 cross-sectional units
Time-series length = 9
Dependent variable: C
coefficient std. error t-ratio p-value
-----------------------------------------------------------------
const 3.24479e+06 1.19361e+06 2.718 0.0098 ***
Q 3.41244e+06 459635 7.424 6.61e-09 ***
PF 1.00610 2.15612 0.4666 0.6434
LF -7.88439e+06 1.70371e+06 -4.628 4.22e-05 ***
dt_2 192948 191771 1.006 0.3207
dt_3 62244.2 512074 0.1216 0.9039
dt_4 -114577 1.13902e+06 -0.1006 0.9204
dt_5 -30165.8 1.46139e+06 -0.02064 0.9836
dt_6 -43973.9 1.32486e+06 -0.03319 0.9737
dt_7 -74924.6 1.15304e+06 -0.06498 0.9485
dt_8 -18568.0 1.07066e+06 -0.01734 0.9863
Mean dependent var 1512112 S.D. dependent var 1348282
Sum squared resid 2.07e+12 S.E. of regression 233350.1
R-squared 0.978524 Adjusted R-squared 0.970046
F(15, 38) 115.4254 P-value(F) 6.14e-27
Log-likelihood -734.5909 Akaike criterion 1501.182
Schwarz criterion 1533.005 Hannan-Quinn 1513.455
rho 0.560989 Durbin-Watson 0.851294
Test for differing group intercepts -
Null hypothesis: The groups have a common intercept
Test statistic: F(5, 38) = 5.63826
with p-value = P(F(5, 38) > 5.63826) = 0.000554147
Wald test for joint significance of time dummies
Asymptotic test statistic: Chi-square(7) = 2.79884
with p-value = 0.902966
Giuseppe
On Mon, 2013-11-18 at 21:26 +0100, Pindar wrote:
Hi,
With panels I'm almost always using
--balanced together with --restrict and w or w/o --replace
Perhaps this should be the standard in panel data sets and the user has to add
--unbalanced instead?
Btw, it's very helpful that
smpl --res --rep --bal works!
Leon
> Am 18.11.2013 um 19:16 schrieb Giuseppe Vittucci <ignatiusreilly75(a)yahoo.it>:
>
> Dear,
>
> sample restriction does not seem to work well in panel data...
> I have recently installed gretl 1.9.13 on my laptop.
>
> Here are the issues:
>
> 1) when you restrict the sample, gretl continues to put the indication
> "Full range" in the status bar.
> Example:
> open greene14_1.gdt
> smpl year > 1970 --restrict --replace
>
> "Full range" in the status bar does not disappear.
>
> 2) the option time-dummies in the panel command does not work as
> expected when the sample is restricted and it also messes all the time
> dummies.
>
> Example:
> open greene14_1.gdt
> genr timedum
> panel C 0 Q PF LF dt_*
> panel C 0 Q PF LF --time-dummies
>
> The previous commands work as expected and the last two estimates are
> equal as they should be.
>
> Instead, if you restrict the sample, the two estimates are different:
>
> smpl year > 1972 --restrict --replace
> panel C 0 Q PF LF dt_*
> panel C 0 Q PF LF --time-dummies
>
> The former is correct, whereas the latter includes less time dummies...
> Moreover, it rewrites the time dummies and completely messes them...
>
> Giuseppe
>
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