On Mon, 3 Sep 2007, Mariusz Doszy? wrote: > I've got a question in context of (fixed effects) panel data > models in case were there is a common constant, cross and > time-specific effects (see Green, Econometric Analysis, 2003, > page 291): yit=x[it]'*beta+m+alpha[i]+gamma[t]+e[it]. m is a > common constant, alpha[i] - group specific intercept, gamma[t] - > time effects (0-1 dummy variables), x[it] contains independent > variables. Unfortunately I can't find formulas for estimators of > [standard errors of] parameters of that kind of models. If you use the panel command in gretl, with fixed effects and with the --time-dummies flag, you'll get most of what you want, but not the standard errors (or coefficient estimates) for the alpha[i]s. (The assumption in gretl is that most of the time people are not interested in the specific per-unit constants, only in their joint significance.) You can get the alpha[i] estimates after using the panel command using the accessor $ahat, but right now you can't grab the standard errors in that way. What you can do is estimate the fixed effects model manually: # create the cross-sectional dummies, du_* genr unitdum # and the time-period dummies, dt_* genr timedum # delete the first of each to avoid perfect collinearity delete du_1 dt_1 # estimate ols y 0 x du_* dt_* This will produce the same estimates as the panel command, but you'll see all the dummy coefficients and their standard errors. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users __________ NOD32 Informacje 2485 (20070826) __________ Wiadomosc zostala sprawdzona przez System Antywirusowy NOD32 http://www.nod32.com lub http://www.nod32.pl