Re: [Gretl-users] changing panel data structure
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On Thu, 10 Feb 2011, Summers, Peter wrote:
While helping a student sort out a dynamic panel estimation, I
discovered the following. If I take a data set that's organized
as stacked time series, change the structure to stacked
cross-sections, then change it back, the second change isn't
implemented. I get a box saying no changes were made. Is this
intended behavior?
That doesn't sound right -- I'll look into it.
Also, I have a clarification question: if I estimate a dynamic
panel model with y as the dependent variable, the output lists
"Dy(-1)" as the first x variable. At first I thought that meant
the lagged first difference, but reading the dpanel
documentation it seems like this is actually y(-1). It's the
lagged level, right?
Well, the model is actually estimated in first differences (with
lagged levels entering as instruments, not as regressors).
Differencing is used to sweep out fixed effects.
But it seems there's a notational inconsistency in that the
dependent variable appears in its own right in the model header
while its lag appears with a "D" for difference.
Allin Cottrell
On Thu, 10 Feb 2011, Allin Cottrell wrote:
On Thu, 10 Feb 2011, Summers, Peter wrote:
> Also, I have a clarification question: if I estimate a dynamic
> panel model with y as the dependent variable, the output lists
> "Dy(-1)" as the first x variable...
[I]t seems there's a notational inconsistency in that the
dependent variable appears in its own right in the model header
while its lag appears with a "D" for difference.
OK, this "D" was a legacy from the old arbond command, where we
automatically differenced the dependent variable but not the
regressors (other than lagged y). I've now removed the leading "D"
from the lags of the dependent variable in the printout from the
"dpanel" command.
As I said earlier, the model is in fact estimated in differences,
but since it is _consistently_ in differences it's in fact "good
for levels" and there's no need for the "D" label.
Allin Cottrell
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Allin Cottrell