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st: request for suggestions on fixing heteroscedasticity in fixedeffect model


From   SHRUTI KHADKA MISHRA <khadka-mishra.1@osu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: request for suggestions on fixing heteroscedasticity in fixedeffect model
Date   Mon, 18 Sep 2006 11:46:32 -0400

 Hi,
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
Graduate Student
The Ohio State University

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