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st: Testing joint significance of fixed effects in presence of heteroskedasticity and auto-correlation


From   Christian Wagener <wagener.christian@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Testing joint significance of fixed effects in presence of heteroskedasticity and auto-correlation
Date   Tue, 8 Jun 2010 17:53:45 +0200

Dear Stata-Users,

using  - xtreg y x, fe - we obtain the p-value of the joint
significance of firm-specific fixed effects from the common output (F
test that all u_i=0).

In order to correct for heteroskedasticity and auto-correlation, we
would like to use -xtreg y x, fe vce(cluster clusterid) - to receive
robust standard errors. The F-test mentioned above is not calculated
anymore when this option is applied. Stata help files indicate that
"The F test of u_i = 0 is suppressed because it is too difficult to
compute the robust form of the statistic when there are more than a
few panels." (xt p. 452)

Kit Baum proposed a test for the joint significance of fixed effects
based on estimates robust to heteroscedasticity, but not
autocorrelation (
http://www.stata.com/statalist/archive/2005-05/msg00373.html ).

Is there any way to test the joint significance of fixed effects in
the presence of both heteroscedasticity AND autocorrelation?

We really appreciate your support!

Best regards

Thomas and Christian
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