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From |
Kit Baum <baum@bc.edu> |

To |
Svetlana Jefimova <sjefimova@gmail.com> |

Subject |
st: Re: STATA heteroscedasticity test |

Date |
Mon, 16 Mar 2009 13:18:59 -0400 |

Kit Baum | Boston College Economics and DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html On Mar 16, 2009, at 13:07 , Svetlana Jefimova wrote:

Thank You very much again, and I feel terrible to disturb You withone more question (hopefully last one), but what could we do to amkethe model homoscedastic? Or can we still use results obtained asunbiased?2009/3/16 Kit Baum <baum@bc.edu>Here is the Stata Tip, which should explain the interpretation ofthese stats...Kit Baum | Boston College Economics and DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html On Mar 16, 2009, at 12:40 , Svetlana Jefimova wrote: Dear Mr Baum, Thank You for a promt reply, which we found very useful!However, we would like to ask again for a favour, as we have noavailable funds to aquire Your work, we would like to ask if Youcould send it to us(Stata Tip 38), or just help to interpret theresults we aquire from the robvar test :W0 = 2.0786285 df(47, 165) Pr > F = .00038932 W50 = .88411755 df(47, 165) Pr > F = .68287619 W10 = 2.0786285 df(47, 165) Pr > F = .00038932 Does it mean we have heteroscedasticity or not? Again, sorry for disturbunce! Irina and Svetlanap.s. We wrote to statalist, however, we have not received any replyyet!2009/3/16 Kit Baum <baum@bc.edu> <>I am not aware of any test specifically for xtreg, re, but you couldcertainly use robvar to test for groupwise heteroskedasticity:webuse grunfeld xtreg invest mvalue kstock predict double eps, e robvar eps, by(company)Please see http://ideas.repec.org/a/tsj/stataj/v6y2006i4p590-592.html for details.With regard to collinearity, as the regressors do not change whenusing fe vs. re vs. OLS, you could use any collinearity diagnosticsfrom pooled OLS to consider this. The one thing they would not pickup is potential collinearity between the Xs and the dummy variablesimplicit in the within transformation. High pairwise correlationsimply collinearity, but not vice versa. I would recommandconsidering variance inflation factors (estat vif) for this purpose.It is a good idea to address questions like this to Statalist, whereI and many others knowledgeable in the subject may answer.Kit Baum | Boston College Economics and DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html On Mar 16, 2009, at 08:16 , Svetlana Jefimova wrote: Dear Mr F Baum,We are Svetlana Jefimova and Irina Beinarovica and we are writing toYou from Stockholm School of Economics in Riga (Latvia). We arewriting a bachelor thesis on the topic of FDI into Turkey. We areresearching the determinants affecting FDI inflow using gravitymodel. Consequently, our approach is very similar to the work ofLudo Cuyvers, Joseph Plasmans, Reth Soeng & Daniël Van den Bulcke"Determinants of Foreign Direct Investment in Cambodia: Country-Specific Factor Differentials", whom You advised on some STATAcommands. Therefore, we would like to ask for Your advice on severalissues on STATA commands for random effects model.1) Is there any test for heteroscedasticity in the random effectsmodel? Wald statistics seems applicable just for fixed effects orcan be applicable as well?2) Is there any test for multicollinearity in random effects model?Or just "corr" is enough?We would really appreciate Your help, as we do not know whom else toapproach!Best reagrds, Irina and Svetlana

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**References**:**st: Re: STATA heteroscedasticity test***From:*Kit Baum <baum@bc.edu>

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