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Re: st: both heteroscedasticity and autocorrelation

From   Maarten buis <>
Subject   Re: st: both heteroscedasticity and autocorrelation
Date   Fri, 10 Mar 2006 03:32:53 +0000 (GMT)

I am not particularly well versed in the analysis of panel data, but here is my five cents:
Heteroscedasticity can be caused by model misspecification, so if you have evidence that your
model is misspecified and you find heteroscedasticity than, you should first tackle the other
problem and than see if your errors are still heteroscedastic afterwards. So in your case I would
first tackle your autocorrelation problem and than see if the heteroscedasticty dissappeares.

--- wrote:
> I encountered a problem with panel data when I attempted to run fixed-effects
> and/or random effects models. My data set has both heteroscedasticity and
> autocorrelation. I can not figure out how to mitigate the problems in stata 9.
> Meanwhile, how should I run the hausman test for such probelmatic data?

between 1/2/2006 and 31/3/2006 I will be
visiting the UCLA, during this time the
best way to reach me is by email

Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z214

+31 20 5986715

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