* Chapter 14 - Models for Panel Data * W.H. Greene, Econometric Analysis, Fourth Edition, 2000. SAMPLE 1 90 READ (airline.shd) / NAMES GENR LC=LOG(C) GENR LQ=LOG(Q) GENR LPF=LOG(PF) * Generate an index for each cross-section GENR CSINDEX=SUM(SEAS(15)) * Fixed Effects Estimation - Firm Effects * Example 14.6, p. 581 - Heteroskedastic Consistent Estimation * of the standard errors. * OLS POOL LC LQ LPF LF / NCROSS=6 FIXED OLS STDERR=SE1 * White(2) - see results in Table 14.2, p. 574. * The standard errors are adjusted for groupwise heteroskedasticity. * The CSINDEX= option is usually used to indicate unbalanced panels. * The use of this option with HETCOV is a method of forcing no recognition * of contemporaneous cross-section error correlation in the calculation * of the standard errors of the coefficient estimates. POOL LC LQ LPF LF / NCROSS=6 FIXED HETCOV CSINDEX=CSINDEX STDERR=SE2 * Another covariance estimation method is to calculate a covariance * matrix of the parameter estimates that is adjusted for * groupwise heteroskedasticity and cross-section error correlation. * (This method is not reported in the Table 14.2 results). POOL LC LQ LPF LF / NCROSS=6 FIXED HETCOV STDERR=SE3 * Compare the alternative estimates of the standard errors. SAMPLE 1 3 PRINT SE1-SE3 STOP