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Re: st: re: heteroskedasticity and fixed effects


From   aapdm <aapdm_999@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: heteroskedasticity and fixed effects
Date   Thu, 17 Jul 2008 14:24:08 +0100 (BST)

Dear all,

Many thanks for all your feedback which is indeed very
useful and interesting.

The reason why I was asking about how to check for
heteroskedasticity is the following. In a recent
paper, Santos Silva and Tenreyro (2007) show that
"under heteroskedasticity, the parameters of
log-linearized models estimated by OLS lead to biased
estimates of the true elasticities". They show that
the Poisson estimator is more appropriate.

I am estimating a model similar to a gravity equation
of trade, where the dependent and independent
variables are in logs and the data are time series
cross-sectional. I wanted to check that
heteroskedasticity is indeed present in order to
justify the use of the Poisson estimator instead.




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