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Re: st: panel with cross-sectional dependence nd endogeneity


From   nicola.baldini2@unibo.it
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: panel with cross-sectional dependence nd endogeneity
Date   Sun, 23 Sep 2007 22:54:58 +0200

-xtscc- (remember the dashes!) is useful for both cross-sectional dependence and heteroskedasticity, while fixed effects (it's one of the two options) allows for endogeneity
Nicola
At 02.33 21/09/2007 -0400, "Ivan Etzo" wrote:
>Dear All,
> 
>my panel (N=3D2660 ; T=3D7) presents either heteroskedasticity = (lrtest and xttest3) endogeneity and cross-sectional dependence (xtc= sd test). Moreover there is also serial correlation (xtserial test).
>Thank to statalist I found useful commands to correct my analysis bu= t I haven't found a way to cope with all of them together yet.&=
>nbsp;The command xtscc for ex. is useful for the cross-sectional dependen= ce (nd maybe also heteroskedasticity..?) but not in the case of endogenou= s covariates. For the endogeneity problem, I tried different commands lik= e ivreg2 and xthtaylor, the last one give nice results in terms of expect= ed 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 eve= ry suggestion or comment would be pretty appreciated.
> 
>thanks to all
> 
>Ivan 
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