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st: Panel Fixed(random) effects model with autocorrelation and heteroskedasticity


From   "Lucas Bremer" <bremer@bwl.uni-kiel.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Panel Fixed(random) effects model with autocorrelation and heteroskedasticity
Date   Tue, 10 Nov 2009 16:38:15 +0100

Dear all,

I read a lot in the stata archive, but I didn't find the right answer for my
problem.

In fact, I have two panel datasets (each 700 obs, 6 time periods). So first
of all I tested random vs. fix effects with the hausman test. For one Panel
I should use random effects, for the other one fixed effects. Then I tested
for serial correlation and heteroskedasticity with positive results
(http://www.stata.com/support/faqs/stat/panel.html).

Now I search for the right estimation procedure to handle serial correlation
& heteroskedasticity for random effects and for fixed effects.

Is there a procedure that can do the corrections for fe & re? I think it is
better to use the same estimation procedure in both datasets and do not
switch between them to be able to compare the results.

I tried to use xtgls ... , panels(hetero) corr(ar1) for the random effects
model. For the fixed effects model I added for each ID a personal dummy, but
that didn't worked.

Thank you in advance,
Lucas





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