Re: [Gretl-users] Thanks on Allison's alternative Hausman test / No joy on PCSEs
On Fri, 28 Dec 2012, Clive Nicholas wrote:
On 28 December 2012 02:16, Allin Cottrell <cottrell(a)wfu.edu>
wrote:
>> (2) as there is no LDV, how do I ensure that I select robust SEs that do
>> 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.
There is no LDV in the model because - correct me if I'm wrong - that would
render the parameter estimates biased in a fixed-effects LSDV model (Judson
and Owen, 1999).
True. But I didn't mean that you have to include an LDV in
your panel model. I was just questioning what I took to be
your assumption: that since you don't have an LDV, you don't
have to worry about autocorrelation of the error term when
selecting a robust variance estimator. That doesn't follow.
Allin Cottrell