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


From   "Ivan Etzo" <ivanetzo@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: panel with cross-sectional dependence nd endogeneity
Date   Tue, 25 Sep 2007 13:59:30 +0200 (ora legale Europa occidentale)

hi  Jasminka I also have Stata 9.2... u need to search for the command through the search option and then download it.. it's not in the official commands of Stata.
 
Ivan
 
 
-------Original Message-------
 
Date: 09/24/07 19:12:07
Subject: Re: st: panel with cross-sectional dependence nd endogeneity
 
 
hi Nicola,
 
it seems that your answer is usefull for me, too. namely, I asked about
how to estimate random effects with robust errors. the question still
stays: which Stata version are you using? I can not find command xtscc
in my 9.2 version. and what about dashes? could you, please, clarify?
 
thank you so much.
Jasminka
 
> -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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