[Gretl-users] fixed effects panel estimation

Sven Schreiber svetosch at gmx.net
Fri Jul 17 15:52:11 EDT 2009


Am 17.07.2009 21:12, Iveta Paterova schrieb:
> Hello everybody,
> it may sound silly, but I simply cannot understand why when calculating
> fixed effects panel estimation, some variables are "omitted due to the
> collinearity" and the constant remains. Should not also constant disappear
> from the estimation - as it bears the fixed effects???
> I am calculating log-gravity models and the important variables are
> omitted. What do I do wrong?
> How can I get know the coefficient of omitted variables? IT IS IMPROTANT
> FOR MY ESTIMATION?
> 
> Thank you for your help.
> 

Iveta,
it sounds as if the omitted variables only vary in the cross-section
dimension, not over time. That you collinearity then is a general
problem of a fixed-effects specification, not of gretl's implementation.
You might try a random-effects model, but if that happens to be rejected
as biased, then you're out of luck. You would then need to think of a
different approach to get your coefficient estimates, probably by
checking out what textbooks like Wooldridge suggest.

good luck anyway,
sven


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