Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Heteroscedasticity and auto-correlation in fixed effect panel data


From   "hanene henchiri" <[email protected]>
To   [email protected]
Subject   Re: st: Heteroscedasticity and auto-correlation in fixed effect panel data
Date   Mon, 15 Sep 2008 16:20:17 +0200

Hi Chandra,
I had the same problem; i opted finally to use individual clustering
with robust option. The clustering should be ok for autocorrelation.
I am not sure that i am right, but it was the only way for me to
resolve the dilemma.
i hope that would be useful.
Hanene

2008/9/15 Chandra Kiran <[email protected]>:
> Hi,
> I have a question concerning estimation of a fixed-effects panel data model
> with both heteroscedasticity as well as auto-correlation. After exploring
> both xtgls and xtregar options, I feel both to be unsuited, since in the
> xtregar case, one is limited to no heteroscedasticity, while in xtgls, there
> does not appear to be the option of estimating fixed effects.
> Can anyone suggest a specific command (or user written program) for taking
> care of both issues in a fixed effects setting ?
>
> Chandra
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
Hanene HENCHIRI
Doctorante
Laboratoire d'�conomie d'Orl�ans (LEO)
Facult� de droit, d'�conomie et de gestion
Rue de Blois, B.P 6739, 45067
Orl�ans, cedex 2
France
t�l: (0033) 2.38.49.49.44

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index