4:32 a.m.
Dear Gretl friends,
I've been working to get familiar with a macro panel I'm doing - it comprises a
number of variables of US States since 1992 until 2009. However, as everything in
econometrics, I have to be very careful with some endogeneity issues. For this reason,
I've working on finding suitable IV's for my estimations. However, I have some
questions regarding Gretl's panel toolkit.
The first is about the Panel IV GUI and how it relates to the tsls function. I am pretty
sure it is improper, yet I will ask nonetheless -- is it still feasible to use tsls for
the panel estimation? I am pretty sure you can't, since it doesn't demean the data
and the like, but I want to be sure since I am more familiar with the test outputs
reported there. If not, how can you script what Allin programmed in the Panel IV GUI?
I've not been able to find the script functions for what it is done there (I see there
is an ivpanel function in the GUI example but nothing else is said about it). Is it
equivalent to using a dpanel with instruments?
Thanks everyone!
EF
4:04 p.m.
On Wed, Jul 27, 2011 at 12:32 AM, Eloy Arturo Fisher Hogan
<eloyfisher(a)hotmail.com> wrote:
I am pretty sure it is improper, yet I will ask nonetheless -- is it
still
feasible to use tsls for the panel estimation? I am pretty sure you can't,
since it doesn't demean the data and the like, but I want to be sure since I
am more familiar with the test outputs reported there.
You can use plain tsls with panel data only if the data are poolable,
that is, there are no significant differences in the conditional means
across the groups.
If that condition is not satisfied, you can use the ivpanel() function.
To get help on the script version, open gretl's function package
listing (the "fx" button or under the File menu), right click on the
ivpanel line, and select Info. Or in the console, do
include ivpanel.gfn
help ivpanel
The "dpanel" command is another alternative, but that is for
dynamic models.
Allin Cottrell
4:34 p.m.
Hi Allin,
A per your response on tsls, are there tests to determine panel "data
poolability" in Grelt?.
--- On Wed, 7/27/11, Cottrell, Allin <cottrell(a)wfu.edu> wrote:
From: Cottrell, Allin <cottrell(a)wfu.edu>
Subject: Re: [Gretl-users] IV Panel Estimation
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Date: Wednesday, July 27, 2011, 9:04 AM
On Wed, Jul 27, 2011 at 12:32 AM, Eloy Arturo Fisher Hogan
<eloyfisher(a)hotmail.com> wrote:
I am pretty sure it is improper, yet I will ask nonetheless -- is it
still
feasible to use tsls for the panel estimation? I am pretty sure you can't,
since it doesn't demean the data and the like, but I want to be sure since I
am more familiar with the test outputs reported there.
You can use plain tsls with panel data only if the data are poolable,
that is, there are no significant differences in the conditional means
across the groups.
If that condition is not satisfied, you can use the ivpanel() function.
To get help on the script version, open gretl's function package
listing (the "fx" button or under the File menu), right click on the
ivpanel line, and select Info. Or in the console, do
include ivpanel.gfn
help ivpanel
The "dpanel" command is another alternative, but that is for
dynamic models.
Allin Cottrell
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3 comments
3 participants
participants (3)
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Anutechia Asongu -
Cottrell, Allin -
Eloy Arturo Fisher Hogan