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From |
Gordon Hughes <G.A.Hughes@ed.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: RE: xtscc and small samples (equal size T and N) |

Date |
Tue, 20 Sep 2011 11:29:15 +0100 |

Gordon Hughes g.a.hughes@ed.ac.uk ===================================== Date: Tue, 20 Sep 2011 02:12:43 +0300 From: christina sakali <christina.sakali@googlemail.com> Subject: Re: st: RE: xtscc and small samples (equal size T and N) Dear Mark, thanks a lot for the advice and recommendations. I am a bit reluctant to go for just the simple 2-way fixed effects model, since after implementing the necessary tests, I have found that my residuals suffer from both heteroscedasticity and cross-sectional dependence, so I am looking for an estimator to account for both of these problems. Does the inclusion of time fixed effects correct for heteroscedasticity and/or cross-sectional dependence and how exactly is this achieved? (or can you suggest some reference where I can find some more information on this issue). Can you also please clarify this for me: What is the minimum (more or less) sample size required for the use of estimators that rely on large T and N asymptotics? Thank you again. Christina * * 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/

**Follow-Ups**:**Re: st: RE: xtscc and small samples (equal size T and N)***From:*christina sakali <christina.sakali@googlemail.com>

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