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Download EViews 6 User's Guide II
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Pooled Estimation—491 Alternatively, we may produce estimates for the two way random effects specification. First, in the Specification page, we set both the cross-section and period effects combo boxes to Random. Note that the dialog changes to show that weighted estimation is not available with random effects (nor is AR estimation). Next, in the Options page we change the Random effects method to use the Wansbeek-Kapteyn method of computing the estimates of the random component variances. Lastly, we click on OK to estimate the model. The top portion of the dialog displays basic information about the specification, including the method used to compute the component variances, as well as the coefficient estimates and associated statistics: Dependent Variable: I? Method: Pooled EGLS (Two-way random effects) Date: 12/03/03 Time: 14:28 Sample: 1935 1954 Included observations: 20 Number of cross-sections used: 10 Total pool (balanced) observations: 200 Wansbeek and Kapteyn estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C F? K? -63.89217 0.111447 0.323533 30.53284 0.010963 0.018767 -2.092573 10.16577 17.23947 0.0377 0.0000 0.0000 The middle portion of the output (not depicted) displays the best-linear unbiased predictor estimates of the random effects themselves. The next portion of the output describes the estimates of the component variances:
