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st: re: Solving the moving average in the error structure in a panel data fe


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: Solving the moving average in the error structure in a panel data fe
Date   Mon, 22 Feb 2010 08:29:50 -0500

<>
Carolina wrote

I am working with a fixed effect model.
My dependent variable is the sd of the growth rate of countries GDPs,
calculated over a period of 5 years. The explanatory variables are in
standard deviation as well and they are calculated over the same period of
years.

I would like to use the overlapping sample ideally using fe estimation,
though for that I would need to correct for the outocorrelation generated by
the moving average!

That said, do you know if STATA has an option to correct this problem for
panel data! Ideally for fixed effect estimations?
If there were not, it is possible to program a new tipe of VCE matrix
(adjusting by the number of data overlaps)?


ssc desc xtivreg2
ssc inst ivreg2
ssc inst xtivreg2
ssc inst ranktest

Use xtivreg2, fe with options  robust bw(5)  to take care of the MA(4) in your overlapping data. 

Kit Baum   |   Boston College Economics & 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


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