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RE: st: I have a problem with estimation using panel data random effects


From   "Ghita, Mihaela" <M.Ghita@econ.uu.nl>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: I have a problem with estimation using panel data random effects
Date   Wed, 16 May 2007 09:32:58 +0200

Dear Statalist,

I have a similar problem. I am working with panel data and I have discovered
problems of heteroskedasticity and autocorrelation in my data. Thus, I have
used xtgls..........panel (hetero) corr (ar1). However, I am not very sure
this is the model I should use. I have also tried using random effects with
robust standard errors as well as the Mundlak approach (including the within
group mean of the independent variables).  When using the last 2 approaches,
the Hausman test (for FE and RE) allows using RE models.

Yet, the results from FGLS are better. But can I use those results or is
better to rely on RE models?

Thank you very much.
mihaela 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
nicola.baldini2@unibo.it
Sent: zaterdag 12 mei 2007 17:43
To: statalist@hsphsun2.harvard.edu
Cc: gargouri_yosra@yahoo.fr
Subject: Re: st: I have a problem with estimation using panel data random
effects

Move to -xtgls, panels(correlated)- or to -xtgee-.

P.S. If you want to learn more about error correction with panel data, have
a look at
http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_progra
mming.htm
Nicola

At 02.33 11/05/2007 -0400, gargouri yosra wrote:
>I have used a regression panel data with random effects. the tests shows
th=
>e presence of AR(1)
>autocorrelation problem and heteroskedasticity problem
>what I can do?
>thank you 

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