Estimation and testing of fixed-effect panel-data systems

被引：61

作者：

Blackwell, JL ^{[1
]}

机构：

[1] Univ N Dakota, Dept Econ, Bur Business & Econ Res, Grand Forks, ND 58201 USA

来源：

STATA JOURNAL | 2005年 / 5卷 / 02期

关键词：

st0084; panel data; fixed effect; multiple equations; seemingly unrelated regressions; heteroskedasticity; autocorrelation; contemporaneous correlation; tests of linear combinations;

D O I：

10.1177/1536867X0500500205

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

This paper describes how to specify, estimate, and test multiple-equation, fixed-effect, panel-data equations in Stata. By specifying the system of equations as seemingly unrelated regressions, Stata panel-data procedures worked seamlessly for estimation and testing of individual variable coefficients, but additional routines using test were needed for testing of individual equations and differences between equations.

引用

页码：202 / 207

页数：6