Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: R: st: Fixed Effects GLS regression


From   Christopher Baum <kit.baum@bc.edu>
To   "<statalist@hsphsun2.harvard.edu>" <statalist@hsphsun2.harvard.edu>
Subject   Re: R: st: Fixed Effects GLS regression
Date   Sun, 16 Sep 2012 08:30:23 +0000

<>
On Sep 16, 2012, at 7:33 AM, Cosimo
 wrote:

> 
> 1. First, you should run the serial correlation test (xttest3) after FE 
> estimation.
> 2. Then, you should use the command xtgls.

xttest3 is a test for groupwise heteroskedasticity in the errors of a panel, not at all for serial correlation within panels.

Kit Baum
author xttest3


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index