I am looking to guidance on how the random effects (cross-section, time/balanced, unbalanced) are calculated. I do not mean the model coefficients but the random effects avaiable via View -> Fixed/Random Effects.
I did not find anything in the user's guide nor in text books.
calculate random effects
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Re: calculate random effects
It's based on the literature from the BLUP (Best Linear Unbiased Predictor) of the component effects. See, for example,
Goldberger (1962) or Baltagi (2001, Econometric Analysis of Panel Data).
Goldberger (1962) or Baltagi (2001, Econometric Analysis of Panel Data).
Re: calculate random effects
Is there any legal version of this books online?
Re: calculate random effects
Thank you, Glenn.
Is there any guidance in simpler terms available?
Is there any guidance in simpler terms available?
Re: calculate random effects
Btw: The "Representations" (View -> Representations) seem a little odd:
Under "Substituted Coefficients", it is suggested to add the random effects to get the fitted values. But one gets the fitted values without adding the random effects. (Note: this is different in the fixed effect setting where one would indeed need to add the fixed effects)
Here is an example for the Grunfeld data in a one-way cross-section RE model:
Substituted Coefficients:
=========================
INV = -57.8460462503 + 0.109783684775*VALUE + 0.308110054652*CAPITAL + [CX=R]
And here for the one-way cross-section FE model:
Substituted Coefficients:
=========================
INV = -59.0109113225 + 0.110124585857*VALUE + 0.310064218491*CAPITAL + [CX=F]
Under "Substituted Coefficients", it is suggested to add the random effects to get the fitted values. But one gets the fitted values without adding the random effects. (Note: this is different in the fixed effect setting where one would indeed need to add the fixed effects)
Here is an example for the Grunfeld data in a one-way cross-section RE model:
Substituted Coefficients:
=========================
INV = -57.8460462503 + 0.109783684775*VALUE + 0.308110054652*CAPITAL + [CX=R]
And here for the one-way cross-section FE model:
Substituted Coefficients:
=========================
INV = -59.0109113225 + 0.110124585857*VALUE + 0.310064218491*CAPITAL + [CX=F]
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- EViews Developer
- Posts: 2672
- Joined: Wed Oct 15, 2008 9:17 am
Re: calculate random effects
The representations view is for forecasting. For fitted values, simply subtract the residuals from the observed.
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