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st: Re: xtpcse and fixed effects


From   "Rodrigo A. Alfaro" <ralfaro76@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: xtpcse and fixed effects
Date   Wed, 27 Sep 2006 23:09:14 -0400

Gerhard,

It seems that your data is Time Series dominated.
I suggest you to try -ivreg2- with fixed-effects and
"Newey-West" std error corrections.

Rodrigo.

----- Original Message ----- 
From: "Gerhard Kempkes" <gerhard.kempkes@gmx.de>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, September 26, 2006 5:32 PM
Subject: st: xtpcse and fixed effects


Dear statalister,

I have a question concerning an issue that has been raised before but has
not been answered in statalist (at least I havent found an answer in the
archive): xtpcse and fixed effects.

I have a dataset of max. 10 states and about T=15 years. I want to conduct a 
FE estimation and have detected serial correlation in the disturbances. I am 
aware of xtregar, fe, but for three reasons I am interested in a 
prais-winsten, fe
estimation:

(1) xtregar, fe causes the loss of one time period and Prais-Winsten does
not.
(2) xtregar does not allow to account for heteroscedasticity but xtpcse 
does.
(3) I would like to compare results from both estimation techniques.

Stata offers a panel version of prais in xtpcse, but does not offer a FE 
option.
My question is whether the correct way of estimating a FE prais-winsten 
estimation is to run xtpcse on the data including dummy variables (or,
alternatively to run xtpcse on deviations from means or orthogonal 
deviations). After having read XT pcse I do not see any reason against such 
a procedure but I am not sure because XT pcse is rather silent on 
implementing FE.

Thank you very much!
Gerhard
-- 
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