* 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