For those that are interested: this is an alternative cite for the
correlated random effects estimator that I mentioned in a prior email.
Steve
> -----Original Message-----
> From: Anna D'Addio [SMTP:[email protected]]
> Sent: Tuesday, February 25, 2003 2:42 AM
> To: [email protected]
> Subject: Re: st: Re: panel: within and between dimension/correlated
> effects
>
> why don't try the mundlack (1978) estimator?
> anna
> ----- Original Message -----
> From: <[email protected]>
> To: <[email protected]>
> Sent: Monday, February 24, 2003 2:38 PM
> Subject: RE: st: Re: panel: within and between dimension/correlated
> effects
>
>
> > Scott,
> >
> > I cannot use a random effects estimator because of strong correlation
> > between the individual effects and the regressors - heterogeneity bias
> > according to Chamberlain. On the other hand, the fixed effects estimator
> > throws out all the between variation. I know that there are ways of
> taking
> > into account the heterogeneity bias, but do not know how to do it - that
> is
> > why I wanted to know if anybody else does.
> >
> > Markus
> >
> >
> > -------------
> > > Greetings,
> > >
> > > I posted this question some time ago, without any reaction. Therefore,
> I
> > > will try to make it clearer.
> > >
> > > I am estimating a macroeconomic panel data model, and I am looking for
> an
> > > estimator that accomodates both the within and the between dimensions.
> >
> > Isn't the random effects estimator (xtreg, re) a weighted averaged of
> the
> > between and within results?
> >
> > Have you taken look at xtgee - it allows for variety of correlation
> > structures
> > and semi-robust standard errors, though it is a population-averaged
> > estimator.
> >
> > I hope this helps,
> > Scott
> >
> > *
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>
>
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