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From |
Joachim Landström <joachim.landstrom@fek.uu.se> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 10 Nov 2009 19:55:00 +0100 |

Lucas,

Reference

Regards, Joachim Quoting Lucas Bremer <bremer@bwl.uni-kiel.de>:

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 * * 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/

-- Joachim Landström * * 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/

**References**:**st: Panel Fixed(random) effects model with autocorrelation and heteroskedasticity***From:*"Lucas Bremer" <bremer@bwl.uni-kiel.de>

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