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Re: st: RE: Fixed Effects Panel Regression with correlation between panels


From   "ash_alankar" <ash_alankar@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Fixed Effects Panel Regression with correlation between panels
Date   Thu, 19 Jun 2003 21:57:38 -0000

Hi Dolores,

Thanks for the info.  But when I mean correlation between panels I 
mean that the errors for unit i are correlated with the errors for 
unit j.  I am assuming that the errors are independent across time 
i.e. no autocorrelation.

Do you know how to do this in a fixed effects framework?  I was 
thinking of using xtgls with a dummy of ones for each different unit 
to capture the fixed effects, but was hoping that there might be a 
better way.

Thanks.
Ash.
--- In statalist@yahoogroups.com, D Jimenez Rubio <djr109@y...> wrote:
> Hi Ash!!
> Im not sure if it will help you because I don't know if I understood
> well your query. First of all, what do you mean by correlation 
between
> panels? Do you mean autocorrelation of errors? If that is your case,
> that is, you want to test for autocorrelation, then you can use the
> option xtregar,lbi. The command xtregar assumes theres autocorr of 
order
> 1. and the command lbi afterwards will allow you to test the null
> hypothesis of no autocorr (it generates a modified version of the 
Durbin
> Watson test for panel data). I don't know if it is of some help, 
but let
> me know as im doing right now the same as you, ie, im running also a
> panel data with fixed and random effects. 
> 
> Dolores (University of York, UK)
> 
> -----Original Message-----
> From: owner-statalist@h...
> [mailto:owner-statalist@h...] On Behalf Of Ash Alankar
> Sent: 19 June 2003 15:41
> To: statalist@h...
> Subject: st: Fixed Effects Panel Regression with correlation between
> panels
> 
> 
> Hi,
> 
> I have a panel data set and would like to run a fixed
> effect 
> regression (different constants for each panel)
> accounting for 
> correlation between the error structure of each panel.
>  It seems that 
> xtreg, fe does not allow for this.  Is xtgls the
> appropriate command 
> to use, i.e. does it implicitly estimate a fixed
> effects model? (I am guessing it does not and simply
> restricts to constant to be equal for all individuals (panels)). 
Any 
> insights would help.
> Thanks in advance.
> 
> Ash.
> 
> 
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