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


From   nicola.baldini2@unibo.it
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: Heteroscedasticity and auto-correlation in fixed effect panel data
Date   Sat, 20 Sep 2008 14:28:07 +0200

Belated suggestion: move to -xtscc- (can be downloaded from SSC)
Nicola

P.S. I'll NOT receive/read any email but the digest.

At 02.33 16/09/2008 -0400, you wrote:
>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 <cb2322@columbia.edu>:
>> 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 

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