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Re: st: RE: autocorrelation


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: autocorrelation
Date   Fri, 29 Apr 2005 01:42:21 -0400

Scott,
  You might find that xtgls or xtpcse would handle circumstances
of autocorrelation with heteroskedasticity.
  - Bob Yaffee



Robert A. Yaffee, Ph.D.
2100 Linwood Avenue
Apt 19-W
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: Scott Merryman <smerryman@kc.rr.com>
Date: Thursday, April 28, 2005 9:54 pm
Subject: st: RE: autocorrelation

> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> > statalist@hsphsun2.harvard.edu] On Behalf Of Thushyanthan Baskaran
> > Sent: Thursday, April 28, 2005 6:07 AM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: autocorrelation
> > 
> > Hi All,
> > 
> > First of all I've to apologize for beeing a novice to STATA :). 
> However,> I already have a question:
> > I'm trying to estimate a gravity model with panel data. I've used 
> the> xtserial command to check for serial correlation and found 
> that the null
> > of no serial correlation was rejected. Heteroscedasticity  is 
> present,> too. Now I would like to know if it is possible to 
> control for both. The
> > xtreg doesn't seem to have some kind of robust option. 
> <snip>
> 
> In Stata 9 -xtreg- allows robust and cluster options.  See
> http://www.stata.com/help.cgi?xtreg
> 
> 
> Scott
> 
> 
> 
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