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Re: st: RE: How to correct for serial correlation with panel data


From   nicola.baldini2@unibo.it
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: How to correct for serial correlation with panel data
Date   Sun, 05 Apr 2009 16:08:32 +0200

Belated suggestions:
-gthacker- from http://people.bu.edu/ralfaro/stata fits a fixed-effects models with Newey-West standard error correction
-xtscc- from SSC produces Driscoll and Kraay (1998) standard errors for coefficients estimated by pooled OLS/WLS or panel fixed-effects (within) regression. The error structure is assumed to be heteroskedastic, autocorrelated up to some lag, and possibly correlated between the groups (panels). 
Both of them seem to work with unbalanced panels
-xtivreg2- from SSC also does a lot of nice things.

Nicola

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

Driscoll, John C. and Aart C. Kraay, 1998, Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data, Review of Economics and Statistics 80, 549-560.


At 02.33 27/03/2009 -0400, you wrote:
>I will comment mostly on the last point. As emphasised recently on this
>list, bootstrapping, at least as implemented in Stata, doesn't really
>mesh well with serial correlation, as if serial correlation exists, then
>it won't be preserved with bootstrapping. Otherwise put, bootstrapped
>SEs are likely to be meaningless, as no bootstrap sample can mimic the
>main dataset. 
>
>I don't have a positive answer here except a highly vague suggestion of
>seeking a quite different model. Rather than treating serial correlation
>as a nuisance to be corrected for, consider some way of capturing the
>evident time structure in your data. 
>
>Nick 
>n.j.cox@durham.ac.uk 
>
>Duha Altindag
>
>I'm estimating an LSDV model with clustered SE's. It's a short
>unbalanced panel of 20 groups and on average 6-7 observations per
>group.
>
>I find errors are serially correlated with the command xtserial.
>
>I wanted to correct for that with xtgls; however I couldn't because
>xtgls required a balanced panel.
>
>Is there a way to do that with unbalanced panels?
>Or should I just look at bootstrap SE's since it's a short panel?

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