Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Fixed dffects panel data modeling in the presence of serial correlated and heteroskedastic errors


From   Thomas Jacobs <thomasjacobs@gmail.com>
To   StataList <statalist@hsphsun2.harvard.edu>
Subject   st: Fixed dffects panel data modeling in the presence of serial correlated and heteroskedastic errors
Date   Sat, 3 Jul 2010 10:38:10 -0500

Hi, I am trying to model a series of daily financial variables in
panel where the error structure displays serial correlation and
heteroskedasticity.

If I use xtregar I can capture the fixed effects but there is no
robustness to heteroskedasticity.

xtpcse has no option for fixed effects.

Is there another command out there someone could suggest?  Thanks.

Tom

-- 
Thomas Jacobs
*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index