Allin Cottrell <cottrell@wfu.edu> replied:

Beck-Katz does:

Var(b) = A^{-1} W A^{-1}

where A = \sum_{i=1}^n X'_i X_i,

W = \sum_{i=1}^n \sum_{j=1}^n \sigma_{ij} X'_i X_j

and \sigma_{ij} is estimated as (1/T) \sum_{t=1}^T e_i e_j,

with the e's being OLS (or fixed effects) residuals.

The trouble is there's no guarantee that W (which is supposed

to be a variance measure) is positive definite in unbalanced

panels; if it's not, we "fail".

The "classical" ones. If the Arellano method is used you'll

> Also, which standard errors are reported instead?

see "Robust (HAC) standard errors".

Fair enough, Allin, although I don't think I'll ever be fitting FE models to balanced panel data any time soon! Thanks once again.

Clive Nicholas (clivenicholas.posterous.com)

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