Re: [Gretl-users] panel model residuals

> After a little bumbling around > it became apparent that, given a balanced panel, the Stata ui values > differ from the above by a multiplicative constant, and after a bit more > trial and error it emerged that the constant is > > 1 - (1 - \theta)^2 > > where \theta is the GLS coefficient. So (for a balanced panel) we have > > ui_stata = (1 - (1 - theta)^2) * pmean($uhat) > > Can anyone supply an econometric rationale for that formula? I think the point is to split up the means such that the estimated variance of the group effects (which enter in theta to make the GLS feasible) will be justified by that split. However, I am not sure at all whether this split would always be unique, i.e. whether another "allocation" of the means among the two error components (and differing across groups) would also be possible. In other words, whether the variance restriction is identifying by itself.