Re: [Gretl-users] Corr(\alpha_{i},X_{it}) in FE panel models?
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.
Allin Cottrell