On Fri, 28 Dec 2012, Clive Nicholas wrote:
On 27 December 2012 22:37, Allin Cottrell <cottrell(a)wfu.edu>
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;
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).
(2) as there is no LDV, how do I ensure that I select robust SEs that
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.