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st: Heteroscedasticity and auto-correlation in fixed effect panel data
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From |
Chandra Kiran <[email protected]> |
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To |
[email protected] |
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Subject |
st: Heteroscedasticity and auto-correlation in fixed effect panel data |
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Date |
Sun, 14 Sep 2008 21:09:16 -0400 |
Hi,
I have a question concerning estimation of a fixed-effects panel data
model with both heteroscedasticity as well as auto-correlation. After
exploring both xtgls and xtregar options, I feel both to be unsuited,
since in the xtregar case, one is limited to no heteroscedasticity,
while in xtgls, there does not appear to be the option of estimating
fixed effects.
Can anyone suggest a specific command (or user written program) for
taking care of both issues in a fixed effects setting ?
Chandra
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