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Re: st: panel with cross-sectional dependence nd endogeneity

From   "Austin Nichols" <[email protected]>
To   [email protected]
Subject   Re: st: panel with cross-sectional dependence nd endogeneity
Date   Thu, 20 Sep 2007 11:02:04 -0400

Ivan Etzo <[email protected]>:
It sounds like you should read a shelfful of books on panel methods,
though you won't find the magic bullet you want.  I would recommend
you start with -xtivreg- from SSC and use the cluster(id) option where
id identifies panels, then read BSS2007 on some other options:

ps. plain text only emails on Statalist, please!

On 9/20/07, Ivan Etzo <[email protected]> wrote:
> my panel (N=2660 ; T=7) presents either heteroskedasticity (lrtest and xttest3) endogeneity and cross-sectional dependence (xtcsd test). Moreover there is also serial correlation (xtserial test).
> Thank to statalist I found useful commands to correct my analysis but I haven't found a way to cope with all of them together yet. The command xtscc for ex. is useful for the cross-sectional dependence (nd maybe also heteroskedasticity..?) but not in the case of endogenous covariates. For the endogeneity problem, I tried different commands like ivreg2 and xthtaylor, the last one give nice results in terms of expected coeff signs and their significance, but they don't provide correct SE for cross-sect dependence. Xtgls seems good for heteroskedasticity (and serial correlation) but not for endogeneity.
> I can say that I'm new with empirical analysis and panel data so every suggestion or comment would be pretty appreciated.
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