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st: RE: 'xtoverid"

From   "Schaffer, Mark E" <>
To   <>
Subject   st: RE: 'xtoverid"
Date   Tue, 24 Apr 2012 19:49:24 +0100


> -----Original Message-----
> From: 
> [] On Behalf Of D. 
> Demetriou
> Sent: 24 April 2012 18:27
> To:
> Subject: st: 'xtoverid"
> Hi everyone,
> This question is adressed to Prof. Mark Schaffer (author of 
> xtoverid)but maybe others can help.
> Xtoverid can be used to decide between FE Vs. RE when 
> heteroskedasticity and/or cluster errors are present.
> My question is: Are the extra orthogonality conditions, which 
> xtoverid is testing, imposed by the FE estimator or by 
> heteroskedasticity and/or clustering?


The extra orthogonality conditions being tested are those imposed by the
RE estimator.  These are the conditions that the Xs are orthogonal to
the time-invariant error u_j.

Also, allowing for heteroskedaticity or clustering doesn't "impose"
anything, let alone impose orthogonality conditions.  On the contrary -
it means the test statistic is robust to (has the right distribution
under the null even in the presence of) heteroskedasticity and


> Yours,
> DD
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