Re: st: TSCS: what model for N>T ??

["joel miller" <joelstar90@hotmail.com>]

Thanks Clive,

That�s the kind of response I was hoping to get!

Best,

Joel Miller
University of M�laga


> From: "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: TSCS: what model for  N>T ??
> Date: Fri, 10 Mar 2006 00:43:37 -0000 (GMT)
>
> Joel Miller wrote:
>
> > I�ve been working on TSCS data involving 41 police force areas, and 
> about
> > 7
> > time periods (soon I hope to be 8). I�m theoretically interested in a
> > fixed
> > effects model, because I want to see how variation within police forces 
> is
> > impacting arrest rates over time (and Hausman tests suggest a fixed
> > effects
> > model is appropriate).
> >
> > However, is OLS fixed effects my only choice here? I have played a 
> little
> > with a panel adjusted standard error (the Beck and Katz model). But 
> while
> > I
> > have seen published articles which use the PCSE model with a similar 
> data
> > structure to mine (N a lot greater than T), I have since been advised 
> that
> > this is not appropriate. This puzzles me a little, because I have also
> > read
> > further that the Beck/Katz is actually more suited to N>T than other
> > approaches.
> >
> > In short I�m confused. Help!
>
> Directly from Beck (2001: 274):
>
> "...TSCS methods are justified by asymptotics in T and typically require a
> reasonably large T to be useful. ... (T)here is no hard and fast minimum T
> for TSCS methods for work, but one ought to be suspicious of TSCS methods
> used for, say, T < 10. On the other hand, TSCS methods do not require a
> large a large N, although a large N is typically not harmful. ... (P)anel
> methods are designed for and work with very small Ts (three, perhaps even
> two) but require a large N for the theoretical properties of the
> estimators to have any practical consequences."
>
> Since this comes from the doyen of applying TSCS models to
> political/social data, my recommendation would be to run -xtpcse- models
> on your data anyway, but present and interpret them with huge caveats.
>
> CLIVE NICHOLAS        |t: 0(044)7903 397793
> Politics              |e: clive.nicholas@ncl.ac.uk
> Newcastle University  |http://www.ncl.ac.uk/geps
>
> Reference:
>
> Beck N (2001) "Time-Series Cross Section Data: What Have We Learned in the
> Past Few Years", ANNUAL REVIEW OF POLITICAL SCIENCE 4: 271-93.
>
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