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


From   Natalie Trapp <natalie.trapp@zmaw.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fixed effects panel in presence of heteroscedasticity and autocorrelation
Date   Tue, 21 Jun 2011 18:15:35 +0200

Hi Volker,

thank you very much!

Regards,
Natalie

Am 21/06/2011 18:02, schrieb Volker Ludwig:
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
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--

Natalie Trapp

Hamburg University
Centre of Marine and Atmospheric Sciences
Research Unit Sustainability and Global Change
Bundesstrasse 55
20146 Hamburg

PhD Student at the International Max Planck
Research School on Earth System Modelling

Tel:     +49 40 42838 4121
Fax:     +49 40 42838 7009
E-mail:  natalie.trapp@zmaw.de

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