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st: RE: Re: 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: RE: Re: Two way Fixed Effects & Autocorrelation& Heteroskedasticity
Date   Thu, 30 Mar 2006 23:09:50 +0100

Rodrigo, 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Rodrigo Alfaro
> Sent: 30 March 2006 23:03
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Re: RE: Re: Two way Fixed Effects & 
> Autocorrelation& Heteroskedasticity
> 
> 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.

That is what I meant.  -xtivreg2- will estimate least squares models as
well as IV models:

xtivreg2 y x1 x2, i(ind) bw(2)

or, using cluster-robust SEs,

xtivreg2 y x1 x2, i(ind) cluster(ind)

Cheers,
Mark

> 
> 
> ----- 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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