[Gretl-users] Random-effects panel-data
I am doing a panel-data exercise from Greene (5th. ed. ) exercise 13.1
Why do I get precisely the same estimates in pooled OLS as in the
random-effects panel model?
Best regards
Helgi Tomasson
The data is below.
I get the following
Model 2: Random-effects (GLS), using 30 observations
Included 3 cross-sectional units
Time-series length = 10
Dependent variable: y
coefficient std. error t-ratio p-value
--------------------------------------------------------
const −0.747476 0.955953 −0.7819 0.4408
x 1.05896 0.0586557 18.05 5.84e-17 ***
Mean dependent var 15.09667 S.D. dependent var 7.252441
Sum squared resid 120.6687 S.E. of regression 2.039850
Log-likelihood −63.44593 Akaike criterion 130.8919
Schwarz criterion 133.6942 Hannan-Quinn 131.7884
'Within' variance = 3.0455
'Between' variance = 0.113088
theta used for quasi-demeaning = 0
GRETL gives me precicel the same answer on pooled-estimate and on
randome-effects estimate. I have done this exercise before with an older
vers
i t y x
1 1 13.32 12.85
2 1 20.30 22.93
3 1 8.85 8.65
1 2 26.30 25.69
2 2 17.47 17.96
3 2 19.60 16.55
1 3 2.62 5.48
2 3 9.31 9.16
3 3 3.87 1.47
1 4 14.94 13.79
2 4 18.01 18.73
3 4 24.19 24.91
1 5 15.80 15.41
2 5 7.63 11.31
3 5 3.99 5.01
1 6 12.20 12.59
2 6 19.84 21.15
3 6 5.73 8.34
1 7 14.93 16.64
2 7 13.76 16.13
3 7 26.68 22.70
1 8 29.82 26.45
2 8 10.00 11.61
3 8 11.49 8.36
1 9 20.32 19.64
2 9 19.51 19.55
3 9 18.49 15.44
1 10 4.77 5.43
2 10 18.32 17.06
3 10 20.84 17.87