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st: panel with cross-sectional dependence nd endogeneity


From   "Ivan Etzo" <ivanetzo@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: panel with cross-sectional dependence nd endogeneity
Date   Thu, 20 Sep 2007 16:39:36 +0200 (ora legale Europa occidentale)

Dear All,
 
my panel (N=2660 ; T=7) presents either heteroskedasticity (lrtest and xttest3) endogeneity and cross-sectional dependence (xtcsd test). Moreover there is also serial correlation (xtserial test).
Thank to statalist I found useful commands to correct my analysis but I haven't found a way to cope with all of them together yet. The command xtscc for ex. is useful for the cross-sectional dependence (nd maybe also heteroskedasticity..?) but not in the case of endogenous covariates. For the endogeneity problem, I tried different commands like ivreg2 and xthtaylor, the last one give nice results in terms of expected coeff signs and their significance, but they don't provide correct SE for cross-sect dependence. Xtgls seems good for heteroskedasticity (and serial correlation) but not for endogeneity.
I can say that I'm new with empirical analysis and panel data so every suggestion or comment would be pretty appreciated.
 
thanks to all
 
Ivan



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