Hello!

I would like to better understand the rational for using the following formula for determining the denominator degrees of freedom for the F-test: n(t-1)-(k-1); where n is the number of regions, t the number of years, k the number of parameters, including the constant. I thought that the use of the de-meaned data approach compared to LSDV approach for the fixed effects model would lead to a higher number of denominator degrees of freedom, as suggested in the Gretl Guide, with the following formula: nt-k.

I would greatly appreciate if someone could shed some light on the matter.

Thank you   

Bruno Gobeil

Senior Consultant | Consultant principal

DUNSKY ENERGY CONSULTING | DUNSKY EXPERTISE EN ÉNERGIE

[t] 514.504.9030  *26   [f] 514.289.2665   [e] bruno.gobeil@dunsky.com

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