Hi,

I stumbled upon a special regression method in a published paper (A+ journal) that I hadn't heard before. In dealing with a panel data set, the authors perform a time-series regression for each single entity. As they explain, "The reported coefficient values are averages of the resulting N regression estimates for the coefficient on each variable. Associated t-statistics are calculated from the cross-sectional variation over the Nj estimates for each coefficient by dividing each reported coefficient value by the standard deviation of the Nj estimates and scaling by the square-root of N."

I know of pooled regressions (with and without clustered errors), fixed, random, between effects and dynamic panel regressions, but I haven't heard of that method which seems odd to me. Apparently, they don't even give it a name.

If anybody recognizes this method or just would like to comment on it, I'd be happy about any input. I'm particularly interested how it compares to pooled or fixed effect regressions, if the t-statistics can be viewed as unbiased, etc.

In case this method is quite common, I'd be happy to hear how it is implemented in standard statistic packages like Stata, eviews, or others.

Thanks,

Steve

I stumbled upon a special regression method in a published paper (A+ journal) that I hadn't heard before. In dealing with a panel data set, the authors perform a time-series regression for each single entity. As they explain, "The reported coefficient values are averages of the resulting N regression estimates for the coefficient on each variable. Associated t-statistics are calculated from the cross-sectional variation over the Nj estimates for each coefficient by dividing each reported coefficient value by the standard deviation of the Nj estimates and scaling by the square-root of N."

I know of pooled regressions (with and without clustered errors), fixed, random, between effects and dynamic panel regressions, but I haven't heard of that method which seems odd to me. Apparently, they don't even give it a name.

If anybody recognizes this method or just would like to comment on it, I'd be happy about any input. I'm particularly interested how it compares to pooled or fixed effect regressions, if the t-statistics can be viewed as unbiased, etc.

In case this method is quite common, I'd be happy to hear how it is implemented in standard statistic packages like Stata, eviews, or others.

Thanks,

Steve

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