Panel data econometrics
Posted: Tue Mar 22, 2011 8:14 pm
Hi all,
I am trying to estimate a panel data model, but I have something that I am not sure about.
First, when we estimate a model with fixed effect, may I ask how Eviews estimate the fixed effect? Is it in effect estimating the fixed effect by including a dummy variable for each cross section, and then intepreting the coefficient of the dummy variable as the fixed effect?
Secondly, in the case of a dynamic panel model, including the case of an error correction model, is it necessary to use GMM technique in the estimation?
Thank you so much!
muscheng
I am trying to estimate a panel data model, but I have something that I am not sure about.
First, when we estimate a model with fixed effect, may I ask how Eviews estimate the fixed effect? Is it in effect estimating the fixed effect by including a dummy variable for each cross section, and then intepreting the coefficient of the dummy variable as the fixed effect?
Secondly, in the case of a dynamic panel model, including the case of an error correction model, is it necessary to use GMM technique in the estimation?
Thank you so much!
muscheng