[Gretl-users] an econometric question about panels (off topic ?)
simplice_peace at yahoo.com
Wed Nov 23 07:32:46 EST 2011
Practically with Grelt, there isn't any option for the Chow test after a TSLS estimation. As regards the residual test you'll talking about, I don't usually see such a test in papers which adopt the TSLS estimation technique. For unit root test, I think a TSLS with HAC solves the puzzle.
From: "nadaud at centre-cired.fr" <nadaud at centre-cired.fr>
To: gretl-users at lists.wfu.edu
Sent: Wednesday, November 23, 2011 12:42 PM
Subject: [Gretl-users] an econometric question about panels (off topic ?)
Dear all gretl listers, greetings from Paris !
I would like your advice on an econometric question.
May be a bit off topic I guess, but well, I could not find a clear answer...
I have to review results on a panel an estimation on 17 OECD countries
1985-2003. The series stationarity is assumed and not tested, but it seems
reasonable for most (i.e: most are in first differences but some in
levels). The authors use 2SLS with IV but do not test stationarity.
What makes me uneasy is when they do not report the usual residuals checks
nor conduct a Chow test (My guess is that the test on this period is so
bad that the whole results are not tenable).
I think this is not very good practice, do you agree ?
Finally I computed semi-partial correlations and these reveal that just
one variable seem to have any explanatory power. I would like to know if
it OK to compute semi-partial correlations after estimation in this
context, and if these have at least an indicative content.
Also the guys tried about 23 other variables which were rejected. There is
strong flavor of datamining here, I know it is very sensitive question but
my opinion is that the results are very suspicious with the usual standard
So, I would like your advice on those questions.
I will try to find the data and run them into GRETL but here in France
this study begins to generate a real political mess !
cheers to all !
UMR 8568 CNRS - EHESS, ENPC, ENGREF, CIRAD
45 bis avenue de la Belle Gabrielle
94736 Nogent-sur-Marne Cedex
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