On Tue, 11 Jan 2022, JOSE FRANCISCO PERLES RIBES wrote:

> Dear Gretl team.
>
> First of all, Happy New Year to the whole list.
>
> Recently reviewing the Wooldridge introductory manual Introductory
> Econometrics: A Modern Approach (7 edition) I have seen a thing that has
> caught my attention and perhaps could be of interest for the list or an
> option as a future feature to add to Gretl.
>
> In Chapter 14 on Panel Data, section 14.3 Correlated Random Effects (CRE)
> Wooldridge explains what to me is the Mundlak's (1974) approach to estimate
> fixed effect models (i.e to expand the linear panel data model by adding
> the between transformation of time-varying variables into the model). The
> purpose of Wooldridge is to highlight that coefficients CRE are the same
> that coefficients in the fixed  in their words "adding the time average x
> and using random effects is the same as subtracting the time averages and
> using pooled OLS".
>
> One of the benefits of this approach is that as known, by using fixed
> effects (within estimator) it is not possible to obtain coefficients on
> time constant variables, but the CRE estimator approach rectifies that.
>
> Panel command in Gretl performs the wihin, GLS and between estimators (most
> used in practice). Although the approach described would not be very
> difficult to implement using the standard panel tools of Gretl, perhaps it
> would be a nice possibility to implement a command or an option in the
> panel command to perform this approach.

Thanks, José, this is a nice suggestion. If I'm not mistaken, you're
suggesting to have an option to the "panel" command ("--mundlak", maybe?)
that does more or less the following:

<hansl>
open abdata.gdt

Ind7 = IND == 7 # a time-invariant dummy, just for the example
list X = w k ys Ind7

list Mundlak = null
loop foreach i X
     if !isconst($i, 0)
         series ta_$i = pmean($i)
         Mundlak += ta_$i
     endif
endloop

panel n const X Mundlak --random

### check that \hat{\beta} is in fact what you get from FE

panel n const X Mundlak --fixed-effects
</hansl>

Is my understanding correct?

-------------------------------------------------------
   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Università Politecnica delle Marche
   (formerly known as Università di Ancona)

   r.lucchetti@univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti
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