Thanks very much for the clarification. All sorted now. :)
Clive
On 31 January 2013 01:42, Allin Cottrell
<cottrell@wfu.edu> wrote:
On Wed, 30 Jan 2013, Clive Nicholas wrote, in response to:
>> 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.
the following:
> Sorry, but I don't see reference to a 'quasi-demeaning coeffiecent'
> anywhere in the results, and any reference to 'theta' in the manual is in
> the context of ARMA models [...]
Quasi-demeaning is relevant only in the context of the random
effects model, so nothing pertaining to this appears in gretl's
fixed-effects output. The "theta" is question is discussed in
section 17.1 of the Gretl User's Guide, on panel-data models.
For the fixed-effects or "within" model one just uses
straightforwardly de-meaned data.
--
Clive Nicholas (
clivenicholas.posterous.com)
[Please DO NOT mail me personally here, but at <
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"My colleagues in the social sciences talk a great deal about methodology. I prefer to call it style." -- Freeman J. Dyson