Am 11.01.2022 14:30 schrieb JOSE FRANCISCO PERLES RIBES:
Dear Gretl team.
First of all, Happy New Year to the whole list.
Thank you and the same to you.
Recently reviewing the Wooldridge introductory manual Introductory
Econometrics: A Modern Approach (7 edition) I have seen a thing that
has caught my attention and perhaps could be of interest for the list
or an option as a future feature to add to Gretl.
In Chapter 14 on Panel Data, section 14.3 Correlated Random Effects
(CRE) Wooldridge explains what to me is the Mundlak's (1974) approach
to estimate fixed effect models (i.e to expand the linear panel data
model by adding the between transformation of time-varying variables
into the model). The purpose of Wooldridge is to highlight that
coefficients CRE are the same that coefficients in the fixed in their
words "adding the time average x and using random effects is the same
as subtracting the time averages and using pooled OLS".
One of the benefits of this approach is that as known, by using fixed
effects (within estimator) it is not possible to obtain coefficients
on time constant variables, but the CRE estimator approach rectifies
I can't say anything on CRE. But I just got reminded that a couple of
years ago Allin had a package for estimating the Hausman-Taylor panel
model which is like a mixture of an RE and FE estimator also allowing
the inclusion of time-invariant regressors. However, I could not find
any reference to this package on the package server nor the manual.