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st: Heteroskedasticity in FE model

From   Giovanni Canitano <[email protected]>
To   [email protected]
Subject   st: Heteroskedasticity in FE model
Date   Thu, 16 Oct 2003 10:39:32 +0200

Hy friends,
I have estimated my FE model with the command xtreg varlist, fe.
1) Obviously, Stata has dropped the variables time invariant. To obtain the coefficient of these variables I have retained the fixed values by the command
predict var,u
and then I have done an OLS using:
reg var timeinvariant. Is this procedure correct?
2)To be sure of my procedure I have estimated my model by an LSDV. Why are the coefficients of the time-invariant variables roughly similar (but not equal) to those one worked out with the Fixed Effect model? And Why are the standard errors completely different?

3) I suppose to have heteroskedasticity in my dataset. How Can I test this one? Is "xttest3" sufficient? I also tried the White�s test for heteroskedasticity, not using "whitetst", but following the theoretical procedure. Is it correct for Panel Analysis?
4) All these test showed the presence of heteroskedasticity. So I decided to use a GLS model (for STATA xtgls varlist, p(h)). Why do I receive different results, using the iterated methodology (igls) instead of the basic one? And what is the best?

5) I've tried to test the autocorrelation by the command xttest2 but I have alwaiys the same error: the correlation matrix is singular. What does it really mean?
6) If the theory suggests me that the Fixed Effect model is better than the others, How can I do in presence of heteroskedasticity or autocorrelation? Could I estimate a Fixed Effect GLS?
Thank you

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