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st: Re: pooled vs panel data
If you mean that you did
regress y x1 x2 x3
xtreg y x1 x2 x3, fe
and the F-test at the foot of xtreg said that there are significant
differences between the intercepts for the units of the panel, then
the pooled OLS regression involves placing a number of inappropriate
constraints on the fixed effects regression. When you place binding
constraints on a regression, the coefficients change. When those
constraints are soundly rejected by the data, it is a bad idea.
Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
On Jul 22, 2006, at 2:33 AM, Jeff wrote:
I ran a few MLE regressions and set them up first as pooled data
and second
as panel data. The regression coefficients were almost identical,
only a
variation of a few decimal points, and the standard errors were
much lower
in the panel regression. I was expecting the coefficients to still
be an
unbiased estimate in both regressions, but I expected that they
should be
slightly different from each other. Is this unusual?
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