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st: Fixed effects panel in presence of heteroscedasticity and autocorrelation


From   Natalie Trapp <natalie.trapp@zmaw.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Fixed effects panel in presence of heteroscedasticity and autocorrelation
Date   Tue, 21 Jun 2011 17:13:23 +0200

Dear Statalist,

I would like to estimate a panel model in presence of heteroscedasticity and autocorrelation with individual effects.

However, I am unsure whether the estimator "xtreg..., fe vce(cluster panelvar)" is consistent in presence of heteroscedasticity and autocorrelation? In Cameron and Trivedi (2005, p. 335) I found that "xtscc" could give consistent estimates of the VCE.

I would appreciate any help!

Best regards,
Natalie
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