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st: RE: request for suggestions on fixing heteroscedasticity in fixed effect model


From   "Jason Yackee" <jyackee@law.usc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: request for suggestions on fixing heteroscedasticity in fixed effect model
Date   Mon, 18 Sep 2006 09:29:17 -0700

You don't specify under # 1 whether you are running regular OLS or the Beck & Katz (1995) flavor, which is implemented as - xtpcse -.  If you haven't tried the latter, see if that does anything for you, though there is some debate over whether B&K is better than a fixed effects GLS estimator with robust standard errors given certain conditions.  See http://polmeth.wustl.edu/retrieve.php?id=54#search=%22%22panel%20corrected%20standard%20errors%22%22

Jason Webb Yackee
Fellow
Gould School of Law
University of Southern California
Los Angeles, California 90089-0071
Tel: 213-740-2865
Fax: 213-740-5502
Cell: 919-358-3040
email: jyackee@law.usc.edu
 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of SHRUTI KHADKA MISHRA
Sent: Monday, September 18, 2006 8:47 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: request for suggestions on fixing heteroscedasticity in fixed effect model

 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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