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st: Re: panel data analysis

From   "Scott Merryman" <[email protected]>
To   <[email protected]>
Subject   st: Re: panel data analysis
Date   Thu, 15 Apr 2004 21:15:16 -0500

----- Original Message ----- 
From: "M H" <[email protected]>
To: <[email protected]>
Sent: Thursday, April 15, 2004 12:33 PM
Subject: st: panel data analysis

> Dear Stata Users,
> Please forgive the lengthy post, but I wanted state up front the
> that I have already attempted, and the end result.
> I would like to model set of firms (i=1 to N, where i=1,2,3 …. 396)  over
> 10 year period using quarterly data (t=1 to T, where t=1,2,3…..396).
> on this framework, the panel is balanced (I have the same number if time
> periods for each firm with no missing values) and the total number of
> observations NT = 15,840.
> Procedure 1: After fitting a model to the above panel of firms  using
> fe xttest0 and xtreg, re xttest1, I find, that the disturbances exhibit
> serial correlation, cross correlation and heteroscasdacity (consistent
> my priors).
> Stumbling block to Procedure 1: the xtreg does not provide an option to
> correct for these problems with the error terms.  This becomes
> problematic as the tests for fixed and random effects rely on the
> that the disturbances are “well-behaved”.

In addition to -xtreg- there is -xtregar- which will fit fixed or random
effects models with AR(1) errors.

Hope this helps,


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