Re: st: RE: Fixed-effects, unbalanced panel and time-invariant variable

[Vera Troeger <vtroe@essex.ac.uk>]

I guess because the hausman test rejected the strict exogeneity
assumption of RE? so RE is not appropriate and produces biased estimates.
Vera

Schaffer, Mark E schrieb:
> Barbara,
>
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> > PETITT Barbara
> > Sent: 17 October 2006 14:47
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: Fixed-effects, unbalanced panel and
> > time-invariant variable
> >
> > Hello,
> >
> > I have an unbalanced panel (for some firms, I have three
> > years of data, for others, two years or even only one year).
> > One of my independent variables is a time-invariant variable
> > and with fixed-effects models, its gets dropped. I
> > contemplated using the fixed effects vector decomposition
> > (xtfevd), but does it work for unbalanced panel?
> > Otherwise, is there any alternative?
> Maybe I am missing something obvious, but why won't the standard random
> effects estimator work for you?  -xtreg,re- etc.
>
> --Mark
>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3296
> email: m.e.schaffer@hw.ac.uk
> web: http://www.sml.hw.ac.uk/ecomes
>
>
>
> > Thank you.
> >
> > Barbara.
> >
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--
Vera E. Troeger
Lecturer in Political Science
Government Department
University of Essex
Wivenhoe Park
Colchester CO4 3SQ
UK

phone: +44 (0)1206 872509
email: vtroe@essex.ac.uk


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