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Re: st: Fixed Effects


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fixed Effects
Date   Mon, 26 Nov 2012 19:27:09 +0000

To -predict- residuals after -xtreg-, you will need to specify an
appropriate option.

Nick

On Mon, Nov 26, 2012 at 7:18 PM, donsaane dontsi <donsaane@yahoo.fr> wrote:
,
> this small article explains you everything you want to know about test. http://dss.princeton.edu/training/Panel101.pdf
>
>
> this is the test for heteroskedacticity:
>
>  Breusch-Pagan test :
>
> xtreg y x1 x2 ..., fe/re  (régression)
> predict résidus  (récupère les résidus)
> gen résidus2 = résidus^2  (génère les résidus carrés)
> reg résidus2 x1 x2 ...  (régression des résidus sur les variables explicatives)

 Amirhossein Moharreri <amir.h.moharreri@gmail.com>

> I've got a problem in estimation of a fixed effects model. I am
> estimating a fixed effects panel data model. I would appreciate it if
> someone could help me in:
> 1-how should I test the results for Heteroskedasticity and Serial Correlation.
> 2- Additionally, I have seen fixed effects GLS (FEGLS) specification
> in the book: "Econometric Analysis of Cross Section and Panel Data,
> 2001, by Jeffrey M. Wooldridge, page 276". Therefore I was wondering
> if I could be informed about a command in Stata which could estimate
> my model based on this specification.

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