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0x30
2010 Jul 01
0
coefficients poolability (was: question regarding panel data analysis)
...noisy the data are etc. It also
depends on how "strongly" poolability is rejected: 0.049 or <2.2 e-16?
Moreover, if you have 20.000 data points, most hypotheses end up to be
rejected (see Leamer, 1978 on this) but you can also afford to estimate
N*(K+1) parameters. On the converse, on 3x30 data points I wouldn't even
run the poolability test on parameters, but only on intercepts... The
"problematic" dimensions in the light of the efficiency/consistency
tradeoff might be like Baltagi et al.'s (30 years x 47 states).
This was just very loose talk to give you an idea...