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st: fixed effect correcting auto correlation and heteroskedasticity
From
Jan Lid <[email protected]>
To
<[email protected]>
Subject
st: fixed effect correcting auto correlation and heteroskedasticity
Date
Tue, 1 Mar 2011 17:44:44 +0100
Dear statalisters,
I have a question about correcting for autocorrelation and heteroskedasticity in panel data. I have read many posts but are still very confused. First of all my hausman test say i have to use fixed effect model so i will use that one
I can correct my paneldata for autocorrelation using xtregar in stead of xtreg. This does not correct for heteroskedasticity however.
i can use xtreg ,fe robust. This corrects for heteroskedasticity but not for autocorrelation.
Maybe the fixed effect model does already correct for either one or both? Am I missing the obvious... i can't find a good explanation Is it possible to use a newey west option somehow e.g?
I also had a question about unbalanced data set. MY dataset is unbalanced. Do i need to correct for this?
Help is very much appreciated.
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