Gerhard,
It seems that your data is Time Series dominated.
I suggest you to try -ivreg2- with fixed-effects and
"Newey-West" std error corrections.
Rodrigo.
----- Original Message -----
From: "Gerhard Kempkes" <[email protected]>
To: <[email protected]>
Sent: Tuesday, September 26, 2006 5:32 PM
Subject: st: xtpcse and fixed effects
Dear statalister,
I have a question concerning an issue that has been raised before but has
not been answered in statalist (at least I havent found an answer in the
archive): xtpcse and fixed effects.
I have a dataset of max. 10 states and about T=15 years. I want to conduct a
FE estimation and have detected serial correlation in the disturbances. I am
aware of xtregar, fe, but for three reasons I am interested in a
prais-winsten, fe
estimation:
(1) xtregar, fe causes the loss of one time period and Prais-Winsten does
not.
(2) xtregar does not allow to account for heteroscedasticity but xtpcse
does.
(3) I would like to compare results from both estimation techniques.
Stata offers a panel version of prais in xtpcse, but does not offer a FE
option.
My question is whether the correct way of estimating a FE prais-winsten
estimation is to run xtpcse on the data including dummy variables (or,
alternatively to run xtpcse on deviations from means or orthogonal
deviations). After having read XT pcse I do not see any reason against such
a procedure but I am not sure because XT pcse is rather silent on
implementing FE.
Thank you very much!
Gerhard
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