Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Re: heteroskedasticity,autocorrelation and fixed effects


From   naveeda salam <nomi67@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: heteroskedasticity,autocorrelation and fixed effects
Date   Fri, 25 Apr 2003 09:12:27 +0100 (BST)

Hi,
Thanx for replying
i have stata7 on my computer and  xtfrontier is not
available on Stata7. Is there anyway i can download
this command?

Naveeda

 and i dont --- Scott Merryman <smerryman@kc.rr.com>
wrote: > ----- Original Message -----
> From: "naveeda salam" <nomi67@yahoo.com>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Thursday, April 24, 2003 4:14 AM
> Subject: st: heteroskedasticity,autocorrelation and
> fixed effects
> 
> 
> > Hi,
> > 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?
> Yes,
> 
> After rho is estimated it uses a Cochrane-Orcutt
> method on each panel.  You
> notice that the number of obersvations has fallen by
> the number of panels.
> 
> > 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
> > heteroskedasticity!
> 
> There is a potential identification problem using
> the fixed effects as a
> measure of efficiency.    Any time-invariant firm
> specific effects will show
> up in the fixed effects estimates, confounding the
> efficiency estimates.
> You might want to take a look at -xtfrontier-
> 
> Scott
> 
> 
> *
> *   For searches and help try:
> *  
> http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/ 

__________________________________________________
Yahoo! Plus
For a better Internet experience
http://www.yahoo.co.uk/btoffer
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index