[Limdep Nlogit List] Hausman-Taylor estimator for panel data

William Spitz bills at gra-inc.com
Wed Jan 15 08:00:40 AEDT 2020


Hi. I'm trying to the Hausman-Taylor estimator. There are four sets of 
variables in the model:
x1 = time-varying uncorrelated with u[i]
x2 = time-varying correlated with u[i]
f1 = time-invariant uncorrelated with u[i]
f2 = time-invariant correlated with u[i]

The manual claims that only the first of these required. For my purposes 
I have only x1 and x2 defined; I have no time-invariant variables, but I 
still want to use H-T estimator to account for the x2 variables that (I 
suspect) are highly correlated with the group effects.
But when I issue the final command to get the H-T estimates, I get an 
error message stating:
No time invariant vars uncorrelated with u(i)
No time invariant vars correlated with u(i)

How can I get H-T estimates without time-invariant variables?

-- 
William Spitz



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