Beck and Katz urge the use of panel-corrected standard errors to accompany OLS estimation for the special case when T is large and N is small. Enrico Pellizzoni's case is one when T is small and N is large. I don't believe that such methods as generalized least squares perform badly in that situation. David Greenberg, Sociology Department, New York University
----- Original Message -----
From: Clive Nicholas <[email protected]>
Date: Monday, January 26, 2004 9:31 am
Subject: Re: st: Autocorrelation and heteroskedasticity in panel models
> 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-
> routinesI 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
> problemsas 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
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> > (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
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>
*
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