The RATS Software Forum

Hello:
I would like to know if there is any procedure or textbook example in RATS for conducting a panel data estimation when there is an omitted variable which is time-varying.
Thanks.

The main technical issue has to do with time-invariant explanatory variables. Assuming that you have available valid instruments for the time-varying omitted variables, you can just do FE-IV (fixed effects, instrumental variables).

Thanks, Tom.