Re: [Gretl-users] Thanks on Allison's alternative Hausman test / No joy on PCSEs

On 28 December 2012 02:16, Allin Cottrell <cottrell(a)wfu.edu&gt; wrote: > Select a set of regressors that are as near orthogonal as possible > ;-). Seriously, gretl is better able to handle highly collinear > regressors than most econometric software; if a regressor is > dropped, it's probably not possible to estimate its coefficient > other than via multiple precision arithmetic (which gretl offers, > but for OLS only). Okay, that's sensible advice, but with this data, these are the only variables I have: they were chosen for their relevance, as opposed to their orthogonality! > > (2) as there is no LDV, how do I ensure that I select robust SEs that do > > not correct for autocorrelation? > > That seems to me a non-sequitur. Why should the non-inclusion of an > LDV immunize a model against an autocorrelated error? Rather the > reverse, I would think: if you include enough lags of the dependent > variable, then maybe you have "whitened" the error term to the point > where correction for autocorrelation is redundant. There is no LDV in the model because - correct me if I'm wrong - that would render the parameter estimates biased in a fixed-effects LSDV model (Judson and Owen, 1999). The solution to that would be to move to IV models, but (a) they're not for kids; and (b) I've not yet hammered out a requisite battery set of IVs to even think about making such a model work! > Allin Cottrell > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > -- Clive Nicholas (clivenicholas.posterous.com) [Please DO NOT mail me personally here, but at <clivenicholas(a)hotmail.com&gt;. Please respond to contributions I make in a list thread here. Thanks!] Judson RA and Owen AL (1999) "Estimating dynamic panel data models: a guide for macroeconomists", Economics Letters 65(1), 9-15