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st: heteroscedasticity in dymamic fixed effects (or LSDV) models


From   joales salbdralor <joalessakafiora@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: heteroscedasticity in dymamic fixed effects (or LSDV) models
Date   Sat, 9 Jun 2012 19:35:25 +0100

HI all,

I have a usual panel data set on some variables that evolve across
time and countries.

I set up a dynamic panel fixed effects model

and I test for heteroscedasticity using xttest3. So my next step is to use

 xtreg  dependent variable, lagged dependent, rest variables , fe cluster(id)

where id is the usual panel identifier.
Checking for heteroscedasticity (using again xttest)  I still find
that I have heteroscedasticity.

IS there any problem in my approach?


thanks
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