EViews.com

Hi,

I did a simple un-balanced panel regression including a constant and cross-section fixed effect as regressors. I can recover the fixed effects (up to a constant of course) by viewing them.

How can I recover the standard errors for the fixed effects. The covariance matrix only includes the standard error of the constant.

I realize that I can generate dummy variables and include them explicitly in a simple regression, in which case the covariance matrix will include them. But, I have many thousands of cross-sections so this would be incredibly tedious.

Cheers.

I was also wondering about this. Did you eventually get some advice? Or did you find the solution yourself?

As you have discovered, EViews treats the fixed effects as nuisance parameters so that standard errors aren't reported. My recollection is that for non instrumental variables/non-weighted cases, it's not that difficult to compute these after the fact, but you're going to have to go to the literature to find the exact formulae.

You could use dummies, but you may hit memory problems if you've got a huge number of cross-sections.

You can create the dummies easily using @expand(@crossid), or something similar.