Strange error with fixed effect panel estimation

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

walt
Posts: 5
Joined: Thu Jan 28, 2010 2:54 pm

Strange error with fixed effect panel estimation

Postby walt » Thu Jan 28, 2010 3:13 pm

I estimate a panel regression with the following commands:
Cross ection: fixed
Period: fixed
GLS weights: period weights
Coef covariance method: White cross section
This always worked with Eviews5, but since today estimation, even re-estimation of already estimated models, is no longer possible.
Error warning: Cross-setion effects with period GLS weights are not allowed.

Hope that somebody can help me.
Kind regards
walt

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Strange error with fixed effect panel estimation

Postby EViews Glenn » Thu Jan 28, 2010 4:17 pm

I was surprised that you report that it worked in EViews 5 since that specification is problematic given our mean differencing algorithm.

I ran a quick check using an October 2007 build of EViews 5.1 and using a December 2004 build of EViews 5.0 and in both cases it does issue an error message. It is possible that a very early version of 5.0 did not perform the error checking.

You can estimate that model using the @expand to add the cross-section effects explicitly.

walt
Posts: 5
Joined: Thu Jan 28, 2010 2:54 pm

Re: Strange error with fixed effect panel estimation

Postby walt » Thu Jan 28, 2010 4:31 pm

Great thanks for these extremely fast reply.
The problem puzled me: My co-author estimated with an old version of EVIEWS5, and it worked. I tried to re-estimate with EVIEWS6, that produced the error message. I installed an old version of 5, it run, but only until today - perhaps there was an uncintroilled automatic update?
Kind regards
walt

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Strange error with fixed effect panel estimation

Postby EViews Glenn » Thu Jan 28, 2010 4:36 pm

For what it's worth, there are no automatic updates for EViews 5.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests