Enrico,
I was trying to estimate such models until recently. Beck and Katz's
papers strongly suggest the use of -xtpcse- since they control for both.
However, they do not suggest what to use if one's dataset includes <8
panels, but has 3 or more (mine has 6, so - in the finest traditions of
Motown - you probably know what I'm saying). The only other -xt- routines
I know (relatively) well are -xtgls- ('horrible' statistical properties,
to quote Beck, so I don't touch it) and -xtreg- (which is GLS in the -re-
verison anyway). All of which is to say that I face much the same problems
as you: I myself have yet to find -xt- equivalents to post-estimation test
such as -bgtest-, -whitetst- and -hettest- in Stata. No doubt someone else
has.
C.
>
>
> 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
> Politics Building |e: [email protected]
> School of Geography, |f: 0(44)870 126 2421
> Politics & Sociology |
> University of |
> Newcastle-upon-Tyne |
> Newcastle-upon-Tyne |
> NE1 7RU |
> United Kingdom |http://www.ncl.ac.uk/geps
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
>
>
> ----------------------------------------------------------------------------
> L'utilizzo non autorizzato del presente messaggio � vietato e
> potrebbe costituire reato. Se il presente
> messaggio non e' a Lei indirizzato, Le saremmo grati se, via e-mail,
> ne comunicasse l'errata ricezione. Il
> contenuto del presente messaggio non deve essere considerato come
> trasmesso o autorizzato da Borsa Italiana. Borsa
> Italiana non si assume alcuna responsabilit� per eventuali
> intercettazioni, modifiche o danneggiamenti del presente
> messaggio e-mail.
>
> The unauthorized use of this e-mail is prohibited and could constitute an
> offence. Please notify Borsa Italiana
> immediately by reply e-mail if you are not the intended recepient. The
> contents of this message shall be understood as
> neither given nor endorsed by Borsa Italiana. Borsa Italiana does not
> accept liability for corruption, interception or
> amendment, if any, or the consequences thereof.
> ----------------------------------------------------------------------------
>
> (Embedded image moved to file: pic06359.pcx)
CLIVE NICHOLAS |t: 0(44)191 222 5969
Politics Building |e: [email protected]
School of Geography, |f: 0(44)870 126 2421
Politics & Sociology |
University of |
Newcastle-upon-Tyne |
Newcastle-upon-Tyne |
NE1 7RU |
United Kingdom |http://www.ncl.ac.uk/geps
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
