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st: heteroskedasticity,autocorrelation and fixed effects
i am trying to calculate the productivity at the
industry and firm level data. According to the
literature, productivity is taken as the unexplained
part ie. residual.
Since i am working with fixed effects model and taking
the u, the fixed effects as indicators of
productivity, of a specific industry or firm.
Working with Xtregar-fe command, i see that rho-ar has
returned with a very high value ie. .71, i suppose
this is indicative of autocorrelation in residulas,
and high number means high degree of autocorrelation.
My question is , does the output with Xtregar-fe, has
corrected for this autocorrelation, and if not , how
to do it?
Secondly, while working with xtregar, is there any
test which can predict for heteroskedasticity and any
method which can correct for it? i think, lrtest is
possible after xtgls but not with xtregar?
I am interested in extracting fixed effects but at the
same time correcting for autocorrelation and
Can anyone help me with these issues please?
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