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 on April 23, and its replacement, statalist.org is already up and running.


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

Re: st: Fixed effects panel in presence of heteroscedasticity and autocorrelation


From   Volker Ludwig <Volker.Ludwig@mzes.uni-mannheim.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fixed effects panel in presence of heteroscedasticity and autocorrelation
Date   Tue, 21 Jun 2011 18:02:52 +0200

Hi Natalie,

xtreg ... , fe vce(robust) and xtreg ... , fe vce(cluster idvar) give identical results.
The s.e. are robust against both heteroscedasticity and autocorrelation.
Stock / Watson (2008, Econometrica) propose alternatives that give more efficient s.e. in case there is no serial correlation or the correlation can be modelled by a moving average.

Best
Volker


Am 21.06.2011 17:13, schrieb Natalie Trapp:
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
*
*   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/


--
________________________

Volker Ludwig

Universität Mannheim
Mannheimer Zentrum für Europäische Sozialforschung (MZES)
D-68131 Mannheim
phone +49-621-181-2849
fax +49-621-181-2803
vludwig@mail.uni-mannheim.de
*
*   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