[Limdep Nlogit List] FEM Hetero is BLUE but not consistent; what is the t-statistic?

[Laurence Lester]

Thank you - most helpful and clear.
REgards
Laurence

Quoting William Greene <wgreene at stern.nyu.edu>:

> Dear Mr. Lester.  The t statistic for the alpha^s in a FE model has degrees
> of freedom NT-K-N.  Assuming normality, the t distribution has plenty of
> degrees of freedom.  This is an exact, finite sample result.  The t
> statistic
> is not unreliable at all.  The issue of small T relates to the asymptotic
> properties.  The conditional variance of the constant term is O(1/T), so it
> does not converge to the true alpha unless T is "growing."  This is what it
> means to be inconsistent - it is still unbiased..  This is the issue of
> "unreliability," 
> I suppose, though that would be a misnomer.  I don't think reliability has a
> relationship to the points here. Interesting question.  
> Regards,
> Bill Greene
> 
> ************************************************
> Professor William Greene
> Department of Economics
> Stern School of Business
> New York University
> 44 West 4th St., Rm. 7-78
> New York, NY   10012
> Ph. 212.998.0876
> Fax. 212.995.4218
> URL. http://www.stern.nyu.edu/~wgreene
> Email. wgreene at stern.nyu.edu
> ************************************************
> 
> ----- Original Message -----
> From: Laurence Lester <laurence.lester at flinders.edu.au>
> Date: Wednesday, July 19, 2006 7:20 pm
> Subject: [Limdep Nlogit List] FEM Hetero is BLUE but not consistent;	what is
> the t-statistic?
> 
> > 
> > 
> > It the one or two-way FEM panel model the estimated fixed effect 
> > (heteroalpha) is BLUE (Hsaio 1986) but inconsistent because
> > Time (waves) does not go to infinity but is fixed. LIMDEP provides a
> > t-statistic for the alphas; is LIMDEP assuming T is large enough for
> > asymptotic consistency, so that if T is small (<5) the t-statistic is
> > unreliable?
> > 
> > Thanks 
> > 
> > Laurence Lester 
> > National Institute of Labour Studies 
> > Flinders University, SA 
> > Ph: (08) 8201 2002 
> > Email:  <Laurence.lester at flinders.edu.au>
> > Laurence.lester at flinders.edu.au 
> > Mail: GPO Box 2100, Adelaide, SA 50001 
> > 
> > 
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> 
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