On 27 December 2012 22:37, Allin Cottrell <cottrell@wfu.edu> wrote:

Not all unbalanced panels provoke a problem with PCSEs. From brief
experimentation it seems that strong collinearity among the
regressors is a contributory problem.

Which is what I have experienced: the very last time dummy in my model is dropped due to collinearity, which provokes two questions:

(1) how do I prevent that (T-2) dummies from being dropped? I don't necessarily want to drop any X variables from the model;
(2) as there is no LDV, how do I ensure that I select robust SEs that do not correct for autocorrelation?

Thanks again. 

Clive Nicholas (clivenicholas.posterous.com)

[Please DO NOT mail me personally here, but at <clivenicholas@hotmail.com>. Please respond to contributions I make in a list thread here. Thanks!]

"My colleagues in the social sciences talk a great deal about methodology. I prefer to call it style." -- Freeman J. Dyson