Friday, March 10, 2006

Re: st: TSCS: what model for N>T ??

Thanks Clive,

That�s the kind of response I was hoping to get!

Best,

Joel Miller University of M�laga

>From: "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk> >Reply-To: statalist@hsphsun2.harvard.edu >To: statalist@hsphsun2.harvard.edu >Subject: Re: st: TSCS: what model for N>T ?? >Date: Fri, 10 Mar 2006 00:43:37 -0000 (GMT) > >Joel Miller wrote: > > > I�ve been working on TSCS data involving 41 police force areas, and >about > > 7 > > time periods (soon I hope to be 8). I�m theoretically interested in a > > fixed > > effects model, because I want to see how variation within police forces >is > > impacting arrest rates over time (and Hausman tests suggest a fixed > > effects > > model is appropriate). > > > > However, is OLS fixed effects my only choice here? I have played a >little > > with a panel adjusted standard error (the Beck and Katz model). But >while > > I > > have seen published articles which use the PCSE model with a similar >data > > structure to mine (N a lot greater than T), I have since been advised >that > > this is not appropriate. This puzzles me a little, because I have also > > read > > further that the Beck/Katz is actually more suited to N>T than other > > approaches. > > > > In short I�m confused. Help! > >Directly from Beck (2001: 274): > >"...TSCS methods are justified by asymptotics in T and typically require a >reasonably large T to be useful. ... (T)here is no hard and fast minimum T >for TSCS methods for work, but one ought to be suspicious of TSCS methods >used for, say, T < 10. On the other hand, TSCS methods do not require a >large a large N, although a large N is typically not harmful. ... (P)anel >methods are designed for and work with very small Ts (three, perhaps even >two) but require a large N for the theoretical properties of the >estimators to have any practical consequences." > >Since this comes from the doyen of applying TSCS models to >political/social data, my recommendation would be to run -xtpcse- models >on your data anyway, but present and interpret them with huge caveats. > >CLIVE NICHOLAS |t: 0(044)7903 397793 >Politics |e: clive.nicholas@ncl.ac.uk >Newcastle University |http://www.ncl.ac.uk/geps > >Reference: > >Beck N (2001) "Time-Series Cross Section Data: What Have We Learned in the >Past Few Years", ANNUAL REVIEW OF POLITICAL SCIENCE 4: 271-93. > >* >* For searches and help try: >* http://www.stata.com/support/faqs/res/findit.html >* http://www.stata.com/support/statalist/faq >* http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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