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


From   kosak@gmx.de
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: RE: Re: RE: Re: Two way Fixed Effects & Autocorrelation& Heteroskedasticity
Date   Fri, 31 Mar 2006 15:23:39 +0200 (MEST)

thanks for your reply Mark.

The problem is that i don`t have an appropriate instrument v.Can i use
xtivreg without specifying an instrument variable?(i think xtivreg allows
for this with by the option regress.) 

Is areg an alternative which i can choose?like i understood areg, the
standard errors will be robut to heteros. and autocorrelation when i choose
the cluster option.

Max




 --- Ursprüngliche Nachricht ---
> Von: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> An: <statalist@hsphsun2.harvard.edu>
> Betreff: RE: st: RE: Re: RE: Re: Two way Fixed Effects & Autocorrelation& 
> Heteroskedasticity
> Datum: 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
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