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


From   "Rodrigo Alfaro" <ralfaro76@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: RE: Re: Two way Fixed Effects & Autocorrelation& Heteroskedasticity
Date   Thu, 30 Mar 2006 17:02:56 -0500

Mark's suggestion is a addendum to my second option. The 4th proposes to use
Least Square without lag dependent variable but with manual fixed-effects and
with correction of the standard errors: -newey y x1 x2 ind*, lag(1)-
Rodrigo.


----- Original Message ----- From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, March 30, 2006 3:44 PM
Subject: st: RE: Re: Two way Fixed Effects & Autocorrelation& Heteroskedasticity



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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