There are quite active pundits for panel data on the list, so let me just
help get -xthtaylor- out of the way: AFAIK, it does not specifically address
heteroscedasticity, but correlation between a subset of the covariates and
the individual effect u_i.
Be careful with such posts, BTW, as they may be regarded as homework
question which are not answered on the list...
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Fardad Zand
Sent: Wednesday, November 05, 2008 1:48 PM
To: [email protected]
Subject: st: xtreg vs. xtgls vs. xtpcse vs. xthtaylor
Dear listers,
I couldn't figure out exactly what the difference is between
(a) xtreg, vce(robust) cluster(id)
(b) xtgls
(c) xtpcse
(d)xthtaylor
To my knowledge they all try to correct some form of
heteroskedasticity or panel specific correlations. But it is not clear
to me where and when each option is best to use.
Moreover, after you run a model on panel data, how can you check:
(1) heteroskedasticity
(2) auto-correlation
(3) endogeneity
(4) multicollinearity
One probably need the above information to decide what model/estimator to
use.
I really appreciate your time and supporting me in my research.
Good luck to all of you,
Fardad
--
ir. Fardad Zand
Researcher & PhD Candidate
MSc Management of Technology
Department of Economics & Management of Innovation
Faculty of Technology, Policy & Management
Delft University of Technology
Kruisstraat 30
2611 MJ Delft
the Netherlands
Office: +31 15 278 42 73 (room C0.060)
Mobile: +316 54 31 57 97
Email: [email protected]
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