Dear Clive,
I have a panel with small T and large N.
I am looking for a test for heteroskedasticity across panels for random effect estimator.
For fixed effect, I will perform an equivalent OLS estimate with -robust-.
______________________________
Enrico Pellizzoni
Research & Development
Borsa Italiana Spa - Gruppo Borsa Italiana
Piazza Affari, 6 - 20123 Milano
Tel: +39 02 72426.304
Fax: +39 02 86464323
E-mail: [email protected]
www.borsaitaliana.it
"Clive Nicholas"
<Clive.Nicholas@newcastle To: [email protected]
.ac.uk> cc:
Sent by: Subject: Re: st: Autocorrelation and heteroskedasticity in panel models
owner-statalist@hsphsun2.
harvard.edu
26/01/2004 15.02
Please respond to
statalist
Enrico,
If you have at 10 time-points in your panel dataset, have you tried
-xtpcse-, or is it that you cannot suitable tools for the
_post-estimation_ of A&H?
C.
> Dear Stata listers,
> Does anyone know how it is possible to test (and correct) for
> autocorrelation and heteroskedasticity in panel models
> (fixed and random effect)?
>
> Thank you
> ______________________________
>
> Enrico Pellizzoni
> Research & Development
> Borsa Italiana Spa - Gruppo Borsa Italiana
> Piazza Affari, 6 - 20123 Milano
> Tel: +39 02 72426.304
> Fax: +39 02 86464323
> E-mail: [email protected]
> www.borsaitaliana.it
>
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CLIVE NICHOLAS |t: 0(44)191 222 5969
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School of Geography, |f: 0(44)870 126 2421
Politics & Sociology |
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