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

Date |
Wed, 26 Sep 2007 12:53:40 +0200 |

I use Stata 9.2 You can just add the robust option after the comma: xtreg y x, robut. On Statalist, we have some "rules" (see the FAQ): Stata commands should be cited between dashes - - You can download -xtscc- by typing ssc install xtscc. Please note that -xtscc- let you have far more than robust standard errors (but not random effects). Nicola At 02.33 25/09/2007 -0400, Jasminka wrote: >Quoting [email protected]: > >hi Nicola, > >it seems that your answer is usefull for me, too. namely, I asked about >how to estimate random effects with robust errors. the question still >stays: which Stata version are you using? I can not find command xtscc >in my 9.2 version. and what about dashes? could you, please, clarify? > >thank you so much. >Jasminka > >> -xtscc- (remember the dashes!) is useful for both cross-sectional >> dependence and heteroskedasticity, while fixed effects (it's one of >> the two options) allows for endogeneity >> Nicola >> At 02.33 21/09/2007 -0400, "Ivan Etzo" wrote: >>> Dear All, >>> >>> my panel (N=3D2660 ; T=3D7) presents either heteroskedasticity = >>> (lrtest and xttest3) endogeneity and cross-sectional dependence >>> (xtc= sd test). Moreover there is also serial correlation (xtserial >>> test). >>> Thank to statalist I found useful commands to correct my analysis >>> bu= t I haven't found a way to cope with all of them together yet.&= >>> nbsp;The command xtscc for ex. is useful for the cross-sectional >>> dependen= ce (nd maybe also heteroskedasticity..?) but not in the >>> case of endogenou= s covariates. For the endogeneity problem, I >>> tried different commands lik= e ivreg2 and xthtaylor, the last one >>> give nice results in terms of expect= ed 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 >>> eve= ry suggestion or comment would be pretty appreciated. >>> >>> thanks to all >>> >>> Ivan * * 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/

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