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RE: st: pls help! correcting serial correlation in fixed effect model


From   [email protected]
To   [email protected]
Subject   RE: st: pls help! correcting serial correlation in fixed effect model
Date   Wed, 11 Apr 2007 11:43:18 +0600

Thanks a lot. I will look into it.
How about putting the dummies myself and then using newey2? 

Thank you again.

Sams



Quoting "Schaffer, Mark E" <[email protected]>:

> Or -xtivreg2-, which has a Newey-West option as well as other
> kernel-robust vcv estimators and will work with models in which there
> are no endogenous regressors.
> 
> But bear in mind (a) these kernel-robust approaches to serial
> correlation (usually) need the T in an NT panel to go off to infinity
> for the asymptotics to work, whereas most panels in practice are small-T
> large-N panels; and (b) the -cluster- option for -xtreg,fe- or
> -xtreg,re- (or -xtivreg2- for that matter) gives results that are
> consistent in the presence of arbitrary serial correlation.  -cluster-
> may be the simplest answer.
> 
> --Mark
> 
> 
> > -----Original Message-----
> > From: [email protected] 
> > [mailto:[email protected]] On Behalf Of 
> > Stas Kolenikov
> > Sent: 09 April 2007 14:43
> > To: [email protected]
> > Subject: Re: st: pls help! correcting serial correlation in 
> > fixed effect model
> > 
> > You can look at -xtdata, fe- transformation, and then run -newey,
> > nocons- on it. The help file for -newey2- says it does run 
> > with panel data, although, as far as I can recall, there 
> > might be some issues with running it that way.
> > 
> > On 4/9/07, [email protected] <[email protected]> wrote:
> > > Hi
> > > I have sent a question but did not get any answer. I need 
> > to correct 
> > > serial correlation in fixed effect model. as far as I understand 
> > > newey2 cannot work in fixed or random effect model. Is it right? Is 
> > > there any command in stata to correct for serial 
> > correlation in stata?
> > 
> > --
> > Stas Kolenikov
> > http://stas.kolenikov.name
> > *
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> > 
> 
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> 




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