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st: Dynamic Panel Data
From
Humaira Asad <[email protected]>
To
STATA HELP <[email protected]>
Subject
st: Dynamic Panel Data
Date
Sat, 5 Mar 2011 23:52:57 +0000
Hi,
I am working with a panel of 107 countries spanning over 1960 to 2010. Since there were a large number of missing values so I have averaged the data over five years. Now there are 10 time periods. I have estimated the models using OLS, Fixed Effect and Random effect. The results show that random effect model is appropriate. When I introduce the lags of the dependent variable, estimates considerably change and very few regressors remain significant. It seems I am wrong somewhere.
1. How can I decide the number of lags of the dependent variable? as the first lag of the dependent variable appear to be significant, but its inclusion makes almost all the other regressors insignificant.
2. Is it econometrically correct to use LDV when data is averaged over five years?
3. Kindly suggest any reading to be clear about these things?
Humaira Asad
PhD Research Scholar
UoE Business School
University of Exeter, England
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