Re: st: fixed effect, autocorrelation heteroskedasticity

[David Jacobs <jacobs.184@sociology.osu.edu>]

Economists often use -xtgls- and manually enter the dummies for cases 
(and years if you need 2-way fixed effects).

Another possibility is to use xtreg, fe and cluster on case id.  This 
will correct the t-values for serial correlation, but you probably 
don't have enough cases in each cross-section.  This approach might 
work if you enter less than about 10 explanatory variables, however.

By the way, the -xtreg, fe- routine in Stata 10 will warn you if 
you've exceeded the limits on the number of explanatory variables 
when you cluster on case id and the matrix is not full rank. But 
Stata 8.2 will not.

D. Jacobs



At 04:03 AM 8/23/2008, you wrote:

> Hello everyone,
>
> I'm working on a fixed effect model with n=14 and t=57. I found 
> autocorrelation ( with xtserial and with xtregar ..., fe lbi) and 
> heterosketasticity (with :xtreg ..., re//xttest0).
> In order to correct autocorelation i use xtregar ..., fe
> But xtregar could not use White correction for heteroskedasticity.
>
> How I can do ?  xtpcse or xtgls seem to be able to correct the two 
> problems but do not keep fixed effect.
>
> Ghislain.
> I'm running Stata 8.2
>
>
>
>
>
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