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


From   Thomas Jacobs <[email protected]>
To   StataList <[email protected]>
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
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