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Re:st:individual effects and heteroskedasticity

From   David Jacobs <>
Subject   Re:st:individual effects and heteroskedasticity
Date   Thu, 13 Feb 2003 15:45:46 -0500

If I understand your question correctly, several solutions may be possible. First, if fixed-effects is a plausible estimator, you can use areg and specify robust standard errors. One should be careful to insure that there are sufficient groups to estimate the standard errors, however.

Second, although these estimators differ a bit from their random-effects counterparts, population averaged models (xtgee in Stata speak) also allow the robust option. And you can ask for the appropriate xtgee model by simply adding the letters 'pa' after a coma at the end of your command line. See the manuals and help files for more detailed instructions.

Dave Jacobs

At 05:56 AM 2/13/2003 -0500, you wrote:

Dear all,

I also have the same question. I notice that not very much often questions about panel data are answered. I would greatly wellcome your help on this topic.


>I'm a new user of stata and have a doubt. I want to >incorporate individual effects and heteroskedasticity >but xtgls does not allow for this. Would it be a good >idea to xtdata, re and then use regress? (I have >checked between fixed effects, random effects and >poolability and re is the best). I have read that >xtdata is only for looking for the best model, not to >make inference. If this is not a good idea, how could >I estimate a model with individual effects and >heteroskedasticity?
>I would appreciate your help sincerely.
>Raul Gonzalez

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