Re: [Gretl-users] Fixed effects forecast

On Tue, 9 Aug 2011, Leon Unger wrote: > I want to calculate$V[\widehat{u_{ijt}}]$ for *Fixed Effect *models. > In a first step I reproduce the forecast error variance of a pooled OLS > model. > Using the following formula > > $V[\widehat{u_{ijt}}] = V[{\epsilon}] > +{{x_{ijt}}^{'}*V[\hat{\beta}]*{x_{ijt}}$ > > which provided the same values as GRETL produces with $fcerr. > Can I apply the same calculation after the Fixed Effect? That would, I think, ignore the uncertainty due to estimation of the fixed effects. One option would be to estimate the fixed effects model manually, by adding the unit dummies to the dataset and applying OLS (gretl estimates the FE model by de-meaning the data). Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users