Re: [Gretl-users] Random-effects panel-data
On Fri, 17 Feb 2012, Helgi Tomasson wrote:
Of course it is a question of how Omega is calculated. The R-program
offers the following options [...]
Some years ago I had my students do this exercise in GRETL. Then GRETL
gave results that were very similar to mine, except that GRETL gave a
positive Hausman statistic. I suspect that sometimes in the last couple
of years GRETL has gone from estimating Omega with one of
Nerlove/Walus/Amemiya to SWAR (the R default).
We started out using a different variant, but gretl has used
Swamy-Arora for the last 5+ years.
Is it possible to choose a method for calculating Omega in GRETL?
In CVS and snapshots I've added a --nerlove option for use
with the "panel" command (plus the --random-effects option).
The others are somewhat complicated and, it seems to me,
little used.
Allin Cottrell