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st: tsset error in panel estimation
I have a balanced panel data. I used xtgls with heteroscedasticity and psar1
options specifying first iis district and tis year. That worked perfectly.
However, when I went estimating my model with Beck and Katz's panel-corrected
standard errors, i.e. applied xtpcse I got an error message saying I have to
tsset! The same occurs when I try to test for cross-district correlation and
for homoscadsticity using xttest2 and xttest3 respectively?!
What am I doing wrong?
Using the opportunity may be a two more questions?
I would like namely to calculate elasticities. Does that work for panel
(N=235, T=29) the usual way with mfx, eyex?
Finally, what I assume with my IVs that one or two are actually endogenous.
I would have applied 3SLS in a "normal" (non-panel) setting to address
endogeniety. Is there any way to do "3SLS" for xt? I could not find anything
like that in the literature. May be that is too dumn what I think?
Actually, intuitively I think I take would-be-3sls structure, estimate each of
them SEPARATELY with xt (the first equation being the principal) and then put
the results next to each other and treat them as a "real" 3SLS. Figuring out
elasticities I make a distinction in so-called direct and indirect effects of
my RHS variables on the main DV?!!
Any hint will be much appreciated.
Thanks in advance.
University of Hohenheim
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