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st: request for suggestions on fixing heteroscedasticity in fixedeffect model
My question is how can we fix heteroscedasticity problem in a Fixed effect model?
I am running a panel model of 26 countries and 24 years.
I found two solutions in STATA to deal with heteroscedasticity.
1. OLS with dummies to make it fixed effect and run Robust Error to correct heteroscedasticity. But then, I have many varibles which are already dummies themselves, so its hard to deal with collinearity problem.
2. xtgls. But I can not relate if and how to turn FGLS into a fixed effect model.
Do you guys have better ideas to deal with it?
Appreciate your help.
Shruti Khadka Mishra
The Ohio State University
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