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st: RE: Re: Two way Fixed Effects & Autocorrelation& Heteroskedasticity


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: Two way Fixed Effects & Autocorrelation& Heteroskedasticity
Date   Thu, 30 Mar 2006 21:44:26 +0100

Max, Rodrigo,

Just a brief addendum to Rodrigo's 4th option: 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Rodrigo Alfaro
> Sent: 30 March 2006 21:28
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Re: Two way Fixed Effects & Autocorrelation& 
> Heteroskedasticity
> 
> Dear Max
> 
<snip>
> 
> (4) A way to solve the problem without a lag dependent 
> variable is using a standard error correction that takes care 
> of the behavior of the error term but does not change the 
> Least Square estimation of the parameters. You can use 
> -newey- with manually fixed effect, but you have adjust the 
> degree of freedom (I wrote a command for that I can send you 
> if you are interesting).

-xtivreg2- will do this.  The fixed effects are handled automatically,
as is the dof adjustment.  However, you need respectable number of
periods for this to work, since the asymptotics require t to go to
infinity.  The alternative is cluster-robust standard errors, which are
robust to arbitrary autocorrelation and which will work with any number
of periods (since the asymptotics require only the number of cross
sections to go to infinity).  -xivreg2- will do this too.  -findit
xtivreg2- will find it for you.

Cheers,
Mark

> 
> Rodrigo.
> 
> 
> ----- Original Message -----
> From: <kosak@gmx.de>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Thursday, March 30, 2006 11:11 AM
> Subject: st: Two way Fixed Effects & Autocorrelation& 
> Heteroskedasticity
> 
> 
> > My problem was already discussed before,but i didn`t found 
> an appropriate
> > solution to it.-
> > I have a big panel data set (1500 observations over 20 
> years).I want to
> > estimate a model with time and group specific fixed effects 
> (Hausman Test
> > performed). The Model suffers from autocorrelation and
> > heteroskedasticity.The problem is that the cluster option 
> is not possible
> > for xtregar. Can i use xtgls or areg?As i understood xtgls 
> estimates a
> > random effet model.
> > Any suggestions?
> > Max
> >
> > -- 
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