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st: RE: hetero and autocorr in FE

From   <[email protected]>
To   <[email protected]>
Subject   st: RE: hetero and autocorr in FE
Date   Mon, 4 Jul 2005 15:10:07 +0200

(if I am not wrong) and if you want to control for hetereskedasticity you
should use "areg"  with options absorb and robust  - look command "areg" -
To test for heteroskedasticity,  xttest3 calculates a modified Wald statistic
for groupwise heteroskedasticity
in the residuals of a fixed effect regression model, following Greene  (2000,
p. 598).
Hope this helps

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of L. Surdeanu
Sent: 04 July 2005 16:51
To: [email protected]
Subject: st: hetero and autocorr in FE

Hi everybody,

I'm pretty new to stata and I'm trying to check and correct for
heteroskedasticity and autocorrelation in fixed effects model. So far I found
"xtserial" for checking autocorrelation. Any suggestion will be greatly

Thank you,
L. Surdeanu
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