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leader
2010 Jul 01
0
coefficients poolability (was: question regarding panel data analysis)
...rests on consistency, prediction will emphasize model fit
and stability etc.), on how many and how 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...