Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

RE: 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   RE: st: RE: Re: RE: Re: Two way Fixed Effects & Autocorrelation& Heteroskedasticity
Date   Fri, 31 Mar 2006 09:38:10 +0100

Max, 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> kosak@gmx.de
> Sent: 31 March 2006 09:29
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: Re: RE: Re: Two way Fixed Effects & 
> Autocorrelation& Heteroskedasticity
> 
> Rodrigo,Mark,
> thank you very much for your advice.I will try xtivreg2.
> I have antother short question:
> Am i right, that for a one-way fixed effect model with the 
> same problems areg be the appropriate solution?
> Best,
> Max

Unless I am missing something obvious, the same remarks apply to one-way fixed effect models (and probably more directly, since xtivreg2 et al. are set up to handle one-way, not two-way, models).

--Mark

> 
> --- Ursprüngliche Nachricht ---
> > Von: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> > An: <statalist@hsphsun2.harvard.edu>
> > Betreff: st: RE: Re: RE: Re: Two way Fixed Effects & 
> Autocorrelation& 
> > Heteroskedasticity
> > Datum: 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
> > > *
> > > *   For searches and help try:
> > > *   http://www.stata.com/support/faqs/res/findit.html
> > > *   http://www.stata.com/support/statalist/faq
> > > *   http://www.ats.ucla.edu/stat/stata/
> > > 
> > > 
> > 
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/support/faqs/res/findit.html
> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/
> > 
> 
> --
> "Feel free" - 10 GB Mailbox, 100 FreeSMS/Monat ...
> Jetzt GMX TopMail testen: http://www.gmx.net/de/go/topmail
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 
> 

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2020 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index