Re: Once again: Questions about estiamtors in modelsfor panel data

Thank you very much, dear Allin, for your advices...
Best wishes,
Mariusz Doszyn
Poland

----- Original Message ----- 
From: "Allin Cottrell" <cottrell@...>
To: "Gretl list" <gretl-users@...>
Sent: Monday, September 03, 2007 9:10 PM
Subject: Re: [Gretl-users] Once again: Questions about estiamtors in 
modelsfor panel data

> On Mon, 3 Sep 2007, Mariusz Doszy? wrote:
>
>>   I've got a question in context of (fixed effects) panel data
>> models in case were there is a common constant, cross and
>> time-specific effects (see Green, Econometric Analysis, 2003,
>> page 291): yit=x[it]'*beta+m+alpha[i]+gamma[t]+e[it]. m is a
>> common constant, alpha[i] - group specific intercept, gamma[t] -
>> time effects (0-1 dummy variables), x[it] contains independent
>> variables. Unfortunately I can't find formulas for estimators of
>> [standard errors of] parameters of that kind of models.
>
> If you use the panel command in gretl, with fixed effects and with
> the --time-dummies flag, you'll get most of what you want, but not
> the standard errors (or coefficient estimates) for the alpha[i]s.
> (The assumption in gretl is that most of the time people are not
> interested in the specific per-unit constants, only in their joint
> significance.)
>