st: to check the significance of the coefficient

[Kit Baum <baum@bc.edu>]

Keynes said

I already run the fixed effect model and F-test accept the null  
hypothesis.

So I have to work on pooled OLS.

I also check for the heteroskedastic, here is the result

Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
         Ho: Constant variance
         Variables: fitted values of gdppercapita

         chi2(1)      =     2.58
         Prob > chi2  =   0.1085

which, if I'm not misunderstand, mean that there's no heteroskedastic  
problem.

For the P-value, is that mean I have to divide by 2 before check the
significance of the

coeffiicent?

Could you please suggest me how to test autocorrelation and how to
correct it if I found the

problem.




No, you do NOT have to divide the pvalue by two. That would only be  
appropriate if you were conducting a one-tailed test. For a two- 
tailed test, leave it alone.

There is no obvious way of considering a test for autocorrelation in  
the pooled OLS context. You would have to conduct a test on each  
panel, and determine some way of combining results from those tests  
(similar to the issue of designing a panel unit root test). That is  
why I suggested using ivreg2 (in the absence of unobserved  
heterogeneitty) and estimating the model with HAC standard errors. If  
HAC standard errors are quite similar to pooled OLS standard errors,  
then there is no concern of non-iid disturbances.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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