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Any other thought appreciated!
With best wishes,
--- Kit Baum <firstname.lastname@example.org> wrote:
> < >
> Mark said
> -whitetst- (or, pardon the self-plug, -ivhettest-)
> after -regress- with
> fixed effects inserts as dummies by hand probably
> won't be appropriate,
> for the reason I gave in my previous email.
> >From what I know about -xttest3-, it won't be
> affected by the
> Stock-Watson results, but this is just a quick
> guess. Kit Baum is the
> author of -xttest3- and he or someone else would be
> better placed than
> me to say (as I gather he just did!).
> Actually, per my prior posting, -whitetst- is one of
> those tests that
> only makes use of residuals from a regression, and
> is thus immune to
> problems with the variance-covariance matrix. All
> that is needed are
> consistent point estimates. The White general test
> is a special case
> of the Breusch and Pagan test (q.v. -bpagan-, or
> more generally -
> Note, though, that the alternative hypotheses of the
> White / Breusch-
> Pagan and -xttest3- tests differ considerably. The
> latter evaluates
> whether the squared residuals are correlated with a
> set of dummies
> for the individual panels. The White test considers
> whether there is
> correlation between squared residuals and all
> regressors, squared
> regressors and cross-products of regressors. The B-P
> test allows you
> to choose the variables in that list (which may thus
> variables not in the original regression).
> I wholeheartedly agree that the cluster-robust VCE
> is the most
> sensible thing to apply in the -xtreg, fe- context.
> Of course, the vce
> (bootstrap) could be used to evaluate whether the
> cluster-robust SEs
> look reasonable.
> Kit Baum, Boston College Economics and DIW Berlin
> An Introduction to Modern Econometrics Using Stata:
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