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]
st: RE: 'xtoverid"
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
st: RE: 'xtoverid"
Tue, 24 Apr 2012 19:49:24 +0100
> -----Original Message-----
> From: email@example.com
> [mailto:firstname.lastname@example.org] On Behalf Of D.
> Sent: 24 April 2012 18:27
> To: email@example.com
> 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
> * 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/
Heriot-Watt University is the Sunday Times
Scottish University of the Year 2011-2012
We invite research leaders and ambitious early career
researchers to join us in leading and driving research
in key inter-disciplinary themes. Please see
for further information and how to apply.
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
* For searches and help try: