Understanding Panel Options

For econometric discussions not necessarily related to EViews.

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mikeguima
Posts: 19
Joined: Wed Mar 14, 2018 8:07 am

Understanding Panel Options

Postby mikeguima » Sat Mar 17, 2018 7:17 am

Hello!

I'm trying to grasp the settings that are available for Panel Data estimation in Eviews 10. Therefore, I'd really appreciate it if you could confirm and clarify some of my questions regarding each setting.

1) Effects specification - regular OLS, fixed effects and random effects
Cross-section - applies the effect on the entity I use as cross section. Since I'm using firms, it applies firm fixed/random effects?
Period - applies time effects. Time fixed effects = year dummies = standadr errors clustered by time?

2) Regarding GLS weights, when can it be advantageous to tweak this option?

3) Coef covariance method
I'm looking to use 1) heteroskedasticity robust standard errors (usually White SE) or 2) heteroskedasticity + autocorrelation robust standard errors (usually Newey-West SE). I was looking into the manual but couldn't understand very well which setting I should use here for using 1) or 2).

Also, how can I test for autocorrelation and heteroskedasticity in the panel data estimation windows? Some options I used to do it for time-series/cross-section have disappeared.

Sorry for the many questions, but I'm just getting started with Eviews (and econometrics).

Thank you in advance!

mikeguima
Posts: 19
Joined: Wed Mar 14, 2018 8:07 am

Re: Understanding Panel Options

Postby mikeguima » Mon Mar 19, 2018 12:05 pm

Could anyone help me? :)


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