[Gretl-users] panel model news

Thanks to persistent queries from "KTTK" on sourceforge, we now have some fixes and refinements for the fixed-effects and random-effects panel-data estimators. For extended background see https://sourceforge.net/p/gretl/bugs/193/ https://sourceforge.net/p/gretl/feature-requests/92/ https://sourceforge.net/p/gretl/feature-requests/93/ The following changes are in current git and snapshots. 1) I think this has been mentioned before but I'll state it for completeness: when you give the --robust option with fixed effects, the accompanying test for difference of group means is now also a robust test. 2) Also pertaining to fixed effects with the robust option: we show clustered (Arellano-type) standard errors and the joint F-test, based on the covariance matrix, is also robust. However, we were using the wrong denominator degrees of freedom for this test. In the clustered case this should be based on the number of clusters (that is, groups, in the panel case) and not the total number of observations. Now fixed. 3) In the case of random-effects estimation (unlike most estimators), we were not showing a joint test on the regressors. We now show a Wald chi-square test by default. 4) While working on the above, I noticed a problem that hasn't been reported yet: if you gave the --time-dummies option with random effects, you could get a spurious "insufficient degrees of freedom" error. That's because when we were checking the degrees of freedom for the "between" model we were wrongly including the time dummies in the parameter count -- wrongly, because of course these dummies will wash out of the between model. Now fixed. 5) KTTK asked if it's just an oversight that there's no robust option for random effects. No, not just an oversight; it's not so obvious what "robust" variance estimation should look like in this case. However, we'll take another look at this. Allin