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&gt; 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 _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users