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


From   joales salbdralor <joalessakafiora@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: heteroscedasticity in dymamic fixed effects (or LSDV) models
Date   Sat, 9 Jun 2012 21:15:03 +0100

I would also like to mention that sometimes some variables  get dropped
mysteriously when applying xtsset3.  Some other times, though , is
fine.Why is this the case?


thank again

On 6/9/12, joales salbdralor <joalessakafiora@googlemail.com> wrote:
> 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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