Svetlana,
Quoting Svetlana Mira <[email protected]>:
> Dear Stata-users,
>
> I am estimating a two-way error component model using reg and ivreg
>
> based on the xi: option.
>
> xi: reg depvar i.idf i.da indepvar year2 year3 yearN
> xi: ivreg depvar i.idf i.da indepvar year2 year3 yearN
> (naf=indepvar1
> indepvar2 year2 year3 yearN).
>
> I was just wondering whether there is a way to check for
> heteroskedasticity and autocorrelation in the xi: models. I've
> tried abar that works for both reg and ivreg option, but I am not
> sure that this is the most appropriate autocorr test for the xi:
> option. The xttest3 (for reg command) gives the default message
> that
> the "last estimates not found" and the ivhettest (for ivreg) does
> not
> work after the xi: as well .
This is odd - ivhettest should work. Is it because the xi option is
creating indicator variables for you that are being wiped out by a later
use of xi? This would probably happen, for example, if you were calling
ivhettest also prefixed by xi. If you estimate as above using ivreg and
then immediately call ivhettest without the xi prefix (and if needed, name
the indicator variables explicitly), it should work. If it doesn't, email
me privately with the details.
Cheers,
Mark
> Are there any other ways of testing for
>
> heteroskedasticity and autocorrelation in a two-way error component
>
> model using xi:?
>
> Any suggestions would be more than welcome.
>
> Many Thanks
> Svetlana
>
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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