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AW: st: RE: Lagged dependent variable with fixed effects regression
From
"Dithmer, Jan" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
AW: st: RE: Lagged dependent variable with fixed effects regression
Date
Mon, 9 Jul 2012 16:15:59 +0200
Erhan,
including the lagged dependent variable gives rise to dynamic panel or Nickell bias as it will be correlated with the error term
in the fixed effects specification. However this bias diminishes with increasing T. Thus, if your time horizon is rather short, you may get problems with endogeneity.
Best, Jan
-----Ursprüngliche Nachricht-----
Von: [email protected] [mailto:[email protected]] Im Auftrag von Erhan Kilincarslan
Gesendet: Monday, July 09, 2012 3:39 PM
An: [email protected]
Betreff: RE: st: RE: Lagged dependent variable with fixed effects regression
Well, my basic model is reg cashdiv earnings l.cashdiv and then i will add more IV and control variables. Howeever, when I run OLS pooled , FE and RE regressions, OLS and RE give similar results, FE gives similar but a bit different with very low coeeficients. I wonder it is because the lagged dependent variable in the model? Hausman test indicates FE rules over RE and B/P Lagrange test indicates RE rules over OLS. So, in this case should I go for RE? Is including Lagged dependent variable in FE is not appropriate in FE?
----------------------------------------
> From: [email protected]
> To: [email protected]
> Subject: st: RE: Lagged dependent variable with fixed effects regression
> Date: Mon, 9 Jul 2012 12:43:00 +0000
>
> Erhan,
>
> That might depend on whether you have identification of the regression equation with the lagged dependent variables being included. If you have any endogeneity concerns, I hope you have some IV's.
>
> -----Original Message-----
> From: [email protected] [mailto:[email protected]] On Behalf Of Erhan Kilincarslan
> Sent: Monday, July 09, 2012 8:36 AM
> To: [email protected]
> Subject: st: Lagged dependent variable with fixed effects regression
>
> Would you please tell me that if I include lagged dependent variable in the model and use fixed effects panel regression, would it be working correctly?
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