Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: can we include dummy variables in xtpcse/xtgls models
From
Felix Wädlich <[email protected]>
To
[email protected]
Subject
Re: st: can we include dummy variables in xtpcse/xtgls models
Date
Fri, 11 Mar 2011 17:07:44 +0100
Dear Lopa,
really not an expert, but I guess i can give u a technical answer:
u can implement FE in -xtpcse- simply by adding individual dummies
through putting an -i.- before the variable that identifies ur group
variable, like -i.countrycode-. Though, this is only possible up until
11.000 units. So if u have a huge survey panel it wont work.
As I understand, -xtregar- will give u different estimates, simply
because -xtpcse, c(ar1)- not only considers an AR1 autocorrelation
structure but also heteroskedasticity and contemporaneously
correlation, which are common problems in panels, with long times
series. For the latter ones u can test for with -xttest3- and -xtcsd-
(which u have to install, since there are not Stata build-ins).
Best,
Felix
2011/3/11 Lopa Chakraborti <[email protected]>
>
> Dear Statalist,
> I wanted to find out if one can include dummy variables in xtpcse/xtgls models in order to capture 'fixed effects' of the panel variable. And, would this be similar to estimating xtregar model with FE option but with the possibility of including time invariant regressors.
> many thanks in advance for any advice
> Lopa
> *
> * 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/
*
* 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/