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In other, previous papers with similar sample sizes and topic, I have
seen that they usually either go for a simple one or two way fixed
effects model or rely on simple robust SE such as White SE. However I
am aware that Stock and Watson (2008) showed that these are
inconsistent, so this option is also ruled out for my data..
On 20 September 2011 13:29, Gordon Hughes <G.A.Hughes@ed.ac.uk> wrote:
> You will probably get almost as many views about what constitutes large T
> and/or large N as the number of people you consult. The answer is very
> dependent upon the type of data which you are analysing, because panel data
> comes in many different forms. However, as Mark says, no one would believe
> that 11 gets close.
> For -xtscc- you are dealing with large T asymptotics, so the reference point
> would be time series asymptotics. If you have annual data I doubt whether
> anyone would rely on large T results for T much below 30 and some might be
> much stricter. The problem, of course, is that many panel datasets don't
> meet that criterion, in which case you have to start to think carefully
> about what you are trying to estimate. That is the point which underlies
> Mark's original suggestion. Your response indicates that you may be trying
> to get too much out of some rather noisy - or complex - data.
> Gordon Hughes
> Date: Tue, 20 Sep 2011 02:12:43 +0300
> From: christina sakali <firstname.lastname@example.org>
> 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.
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