Luca:
1)
you do have panel-wise effect here (the fact that sigma_u<sigma_e, per se, does not explain the whole complexity of the issue).
2) the fact that you SHOULD (you're kindly requested not to shout) do what you should, is your own business, not mine.
3) the fact that you should use different standard errors is good as it seems at its face value.
All that said, I'm going to bow out of this thread.
1)
Code:
----------------+---------------------------------------------------------------- sigma_u | 3.2101967 sigma_e | 5.0243405 rho | .28988884 (fraction of variance due to u_i) --------------------------------------------------------------------------------- F test that all u_i=0: F(366, 18149) = 5.14 Prob > F = 0.0000
2) the fact that you SHOULD (you're kindly requested not to shout) do what you should, is your own business, not mine.
3) the fact that you should use different standard errors is good as it seems at its face value.
All that said, I'm going to bow out of this thread.
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