I want to calculate for

In a first step I reproduce the forecast error variance of a pooled OLS model.

Using the following formula

which provided the same values as GRETL produces with $fcerr.

Can I apply the same calculation after the Fixed Effect?

I'm using the latest snapshot and forecast error for Fixed Effect models are not available.

Hence, I doubt whether the above formula applies for FE models too.

How are they then to be computed?

Here is the script:

open greene14_1.gdt

smpl full

"FE " <- panel log(C) 0 log(PF) --fixed-effects --robust --quiet

series FE_r = $uhat

series FE_h = $yhat

#series FE_fcse = $fcerr

matrix FE_v = $vcv

scalar FE_e = $sigma

series FE_a = $ahat

list FE_xlist = $xlist

matrix FE_x ={ FE_xlist }

#just for the first id

matrix FE_x_1 =FE_x[1,]

matrix FE_fv_1 = FE_e^2 +FE_x_1*FE_v*FE_x_1'

matrix FE_fse_1=sqrt(FE_fv_1)

"PCS " <- ols log(C) 0 log(PF) --robust --quiet

series PCS_r = $uhat

series PCS_h = $yhat

matrix PCS_v = $vcv

scalar PCS_e = $sigma

list PCS_xlist = $xlist

matrix PCS_x ={ PCS_xlist }

#just for the first id

matrix PCS_x_1 =PCS_x[1,]

matrix PCS_fv_1 = PCS_e^2 +PCS_x_1*PCS_v*PCS_x_1'

matrix PCS_fse_1=sqrt(PCS_fv_1)

Thanks in advance

Leon

Am 22.03.2010 03:32, schrieb Allin Cottrell:

On Thu, 21 Aug 2008, [iso-8859-1] Ricardo Gonçalves Silva wrote:Thanks so much. I will try the script now. Only a newbie question: the fcasts generated are out-of-sample, right?Yes, the William Greene dataset I used has data for 6 firms from 1970 to 1984. My script estimates the fixed-effects model over the range 1970 to 1979, then generates forecasts for 1970-1984. I produced "forecasts" for all years just to show that the in-sample values agree with $yhat, but presumably it's the out of sample values that are of most interest. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users@lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users