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


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
Date   Mon, 1 Mar 2010 17:46:53 +0100

Many thanks Kit,

Sorry, I made a spelling mistake in the previous email, I should have said
xtgls instead of xtslg.

Again many thanks for you answer.

I know that the following question is a little out of scope (since it does
not relate to the stata commands), but just in case it is easy for you to
reply...Do you  know where I can find a reference justifying "that there is
no reason for a MA error structure to induce bias in the OLS coefficients"?
It would of great help. Indeed, some referees did not like my overlapping
regressions because of the bias cused by the MA errors in the point
estimates.  (My  regressions were of the type: xtreg, fe cluster) Therefore,
if I can justify it would be just perfect.

Many thanks again
Carolina




2010/3/1 Kit Baum <baum@bc.edu>

> <>
> Carolina said
>
> 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!
>
>
> There is no reason for a MA error structure to induce bias in the OLS
> coefficients. Departures from IID errors do not generally cause bias or
> inconsistency in the point estimates. They mess up the VCE. The use of GLS
> techniques is motivated by the desire to get unbiased point and interval
> estimates.
>
> I'm not sure what 'xtslg' is.
>
> 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/

*
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*   http://www.stata.com/help.cgi?search
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*   http://www.ats.ucla.edu/stat/stata/


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