Re: [Gretl-users] Corr(\alpha_{i},X_{it}) in FE panel models?
On Tue, 29 Jan 2013, Clive Nicholas wrote:
It's just occurred to me that -gretl- neither gives any
information in the
result window nor under the Tests and Analysis menus on the correlation
between the unit-specfic errors (\alpha_{i}) and the X_{it} variables in FE
panel models [...]
You can get that quite easily if you want it. Example:
open greene14_1.gdt
logs C Q PF
list X = l_Q l_PF LF
panel l_C 0 X --fixed
series ai = $ahat
# correlation matrix of ai and regressors
corr ai X
matrix b = $coeff[2:]
series Xb = {X}*b
# correlation reported by Stata
corr ai Xb
The last correlation is the one that is reported by Stata as
corr(u_i, Xb). I'm not aware of programs that print the first
correlation matrix.
Also, no information is given on the standard deviations of
these FE error components which are used to compute \rho
(which is shown): any reason as to why?
In the gretl output "rho" is the first-order autocorrelation
of the residuals. Perhaps you're thinking of the random
effects model, for which we have to calculate the within and
between error variances (to get what gretl calls "theta", the
quasi-demeaning coefficient). In that case we do print both
variances.
Allin Cottrell