Unbalanced panel data: Robustness check

[Kashif Beg]

Ques 1: After fulling all the assumptions, the result of rgression model shows that all the variables in model are insignificant. However, for good regression model 50% of variables must be significant, is this compulsary?

Ques 2: In order to check consistency, i applied Polled ols, fixed effect and random effct models of panel data, i have shown this in similar manner as given below in result and discussion chapter, but interpretation is based on most appropriate model. Is this appropriate?

Ques 3 Consistency check or Robustness check is same or different?

Ques 4 In order to deal with problem of heteroscedasticity and autocorrelation, I ran the model with heteroscedasticity and autocorrelation consistent robust standard errors (HAC) errors. But the durbin watson values are not under the prescribed limit of 1.5 to 2.5. Is it a matter of concern. what is the solution?

[Kashif Beg]

Post by Kashif Beg
Ques 1: After fulling all the assumptions, the result of rgression model shows that all the variables in model are insignificant. However, for good regression model 50% of variables must be significant, is this compulsary?
Ques 2: In order to check consistency, i applied Polled ols, fixed effect and random effct models of panel data, i have shown this in similar manner as given below in result and discussion chapter, but interpretation is based on most appropriate model. Is this appropriate?
Ques 3 Consistency check or Robustness check is same or different?
Ques 4 In order to deal with problem of heteroscedasticity and autocorrelation, I ran the model with heteroscedasticity and autocorrelation consistent robust standard errors (HAC) errors. But the durbin watson values are not under the prescribed limit of 1.5 to 2.5. Is it the matter of concern. what is the solution?

[Herman Rubin]

Post by Kashif Beg
Ques 1: After fulling all the assumptions, the result of rgression model

shows that all the variables in model are insignificant. However, for good
regression model 50% of variables must be significant, is this compulsary?

The quality of a regression model is in its R^2; if this is low, the
model predicts poorly. This can happen even if each variable tests
insignificant; from an action viewpoint, significance is essentially
meaningless.

Post by Kashif Beg
Ques 2: In order to check consistency, i applied Polled ols, fixed

effect and random effct models of panel data, i have shown this in
similar manner as given below in result and discussion chapter, but
interpretation is based on most appropriate model. Is this appropriate?

The meaning of consistency that you are using is not the standard one;
I am not sure what it means.

Post by Kashif Beg
Ques 3 Consistency check or Robustness check is same or different?

Again, I am not sure what either term means as you are using them.

Post by Kashif Beg
Ques 4 In order to deal with problem of heteroscedasticity

and autocorrelation, I ran the model with heteroscedasticity and
autocorrelation consistent robust standard errors (HAC) errors. But
the durbin watson values are not under the prescribed limit of 1.5 to
2.5. Is it a matter of concern. what is the solution?


What assumptions are you making, and which of them are you testing?

[Rich Ulrich]

On Tue, 19 Apr 2016 17:39:15 -0000 (UTC), Herman Rubin

Post by Herman Rubin

Post by Kashif Beg
Ques 1: After fulling all the assumptions, the result of rgression model
shows that all the variables in model are insignificant. However, for good
regression model 50% of variables must be significant, is this compulsary?

After 20 years of reading the stats groups each day, this seems
to be a brand new rule of thumb. However -- I gather that you
may be coming from econometrics, and that has never been a
big topic for any of the folks who answer in this group, or for
the folks who have posted questions to us.

Post by Herman Rubin
The quality of a regression model is in its R^2; if this is low, the
model predicts poorly. This can happen even if each variable tests
insignificant; from an action viewpoint, significance is essentially
meaningless.

Herman - You wote too fast. Low R^2 says it predicts "poorly" in the
sense of variance; odds-ratios might suggest good prediction.

With large N, small R^2 can be "significant". With large R^2, every
variable can still test not-significant if there is confounding.
The /lack/ of significance, overall, says that you don't have
something reliable. But even "strong significance" does not
say that you necessarily have something very useful, so your
conclusion is fairly apt -- that "significance" is fairly meaningless
unless you have a an appropriate quesiton.

Post by Herman Rubin

Post by Kashif Beg
Ques 2: In order to check consistency, i applied Polled ols, fixed
effect and random effct models of panel data, i have shown this in
similar manner as given below in result and discussion chapter, but
interpretation is based on most appropriate model. Is this appropriate?

The meaning of consistency that you are using is not the standard one;
I am not sure what it means.

I assume that Polled should be Pooled. I have never had panel data
that I considered treating that way, nor have I read about the
problems or benefits. I assume that some econometricians will be
familiar with your terminology (which, I am not).

Post by Herman Rubin

Post by Kashif Beg
Ques 3 Consistency check or Robustness check is same or different?

Again, I am not sure what either term means as you are using them.

Post by Kashif Beg
Ques 4 In order to deal with problem of heteroscedasticity

and autocorrelation, I ran the model with heteroscedasticity and
autocorrelation consistent robust standard errors (HAC) errors. But
the durbin watson values are not under the prescribed limit of 1.5 to
2.5. Is it a matter of concern. what is the solution?

Yeah, time series of data are a real bitch. "Panel" seems to describe
something different from the economists' other sort of long series,
daily or monthly or yearly cross-sectional estimates. "Solution"
depends on precisely what the data are, and what the questions
are.

Post by Herman Rubin
What assumptions are you making, and which of them are you testing?

Given a fuller description, we may or may not have useful things
to say. But I think your best bet is to find an econometrician who
is familiar with data such as yours.