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Re: st: RE: request for suggestions on fixingheteroscedasticity in fixed effect model


From   SHRUTI KHADKA MISHRA <khadka-mishra.1@osu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: request for suggestions on fixingheteroscedasticity in fixed effect model
Date   Mon, 18 Sep 2006 14:40:00 -0400

Hi there,
So, u mean XTGLS is a  fixed effect model? I could not find any info on that. If u dont mind could u please call me at 6173724362?
sincerely,
shruti


----- Original Message -----
From: Jason Yackee <jyackee@law.usc.edu>
Date: Monday, September 18, 2006 12:29 pm
Subject: st: RE: request for suggestions on fixing heteroscedasticity in fixed effect model

> 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 [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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