Dear Statalist,
I have a similar problem. I am working with panel data and I have discovered
problems of heteroskedasticity and autocorrelation in my data. Thus, I have
used xtgls..........panel (hetero) corr (ar1). However, I am not very sure
this is the model I should use. I have also tried using random effects with
robust standard errors as well as the Mundlak approach (including the within
group mean of the independent variables). When using the last 2 approaches,
the Hausman test (for FE and RE) allows using RE models.
Yet, the results from FGLS are better. But can I use those results or is
better to rely on RE models?
Thank you very much.
mihaela
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of
[email protected]
Sent: zaterdag 12 mei 2007 17:43
To: [email protected]
Cc: [email protected]
Subject: Re: st: I have a problem with estimation using panel data random
effects
Move to -xtgls, panels(correlated)- or to -xtgee-.
P.S. If you want to learn more about error correction with panel data, have
a look at
http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_progra
mming.htm
Nicola
At 02.33 11/05/2007 -0400, gargouri yosra wrote:
>I have used a regression panel data with random effects. the tests shows
th=
>e presence of AR(1)
>autocorrelation problem and heteroskedasticity problem
>what I can do?
>thank you
*
* 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/
