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


From   Carolina Lennon <carolina.lennon@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: Solving the moving average in the error structure in a panel data fe
Date   Mon, 1 Mar 2010 12:50:13 +0100

Thank you for the your response!  as usual, it was very fast!

I have another question related to my previous email (see below).

You suggested to use "xtivreg2, fe with options  robust bw(5)"  in order to
obtain statistics robust to heteroskedasticity and to the autocorrelation
generated by the 4 lags in my overlaping sample (of data calculated using 5
years). I am currently using this method!!!

But now, I would like to correct the bias in the "estimates" (the
coefficients) generated by the MA error structure. I was wondering If I can
use xtslg. Though, xtslg has not the option bw(5) and I am not sure how to
set up the within panel correlations. In particular, I am not very sure how
to set up the  corr(corr) and  rhotype(calc) options. If you can advise me
in this respect I would really appreciate it!

Many thanks
Carolina



2010/2/22 Kit Baum <baum@bc.edu>

> <>
> 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
>
>
> *
> *   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/
>



-- 
Carolina Lennon

Mobile in Austria:  (43) 06 76 59 24 553
Office at Wiiw in Vienna:  (43) 01 533 66 10 86
Institute website: http://www.wiiw.ac.at
Personal website: http://carolina.lennon.research.googlepages.com/

*
*   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/


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