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Re: st: Re: heteroskedasticity,autocorrelation and fixed effects
Thanx for replying
i have stata7 on my computer and xtfrontier is not
available on Stata7. Is there anyway i can download
and i dont --- Scott Merryman <firstname.lastname@example.org>
wrote: > ----- Original Message -----
> From: "naveeda salam" <email@example.com>
> To: <firstname.lastname@example.org>
> 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
> > part ie. residual.
> > Since i am working with fixed effects model and
> > 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
> > returned with a very high value ie. .71, i suppose
> > this is indicative of autocorrelation in
> > and high number means high degree of
> > My question is , does the output with Xtregar-fe,
> > corrected for this autocorrelation, and if not ,
> > to do it?
> 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
> > method which can correct for it? i think, lrtest
> > possible after xtgls but not with xtregar?
> > I am interested in extracting fixed effects but at
> > 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-
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