RE: st: fixed effect correcting auto correlation and heteroskedasticity

[Jan Lid <hhb010@hotmail.com>]

Thx for the reply. The xtscc command works fine! I also tried it with a random effect model since I do have some regressions that prefer re. but that doesn't worl. 

the command xtscc dependent independents, re however does not work. Unfortunately i still have the same problem that i can correct for heteroskedasticity or autocorrelation. Is there a command that corrects for both in a random effect model? 
or is xtregar enough? or xtreg, re robust?     

How does it work in this situation exactly.

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> Date: Tue, 1 Mar 2011 08:52:31 -0800
> From: syed.basher@yahoo.com
> Subject: Re: st: fixed effect correcting auto correlation and heteroskedasticity
> To: statalist@hsphsun2.harvard.edu
>
> Hi,
>
> You can consider the user written -xtscc- which corrects for both
> autocorrelation and heteroskedasticity. It also permits unbalanced panel and
> allows for fixed effects. For further info, see:
> http://www.stata-journal.com/article.html?article=st0128
>
> ---------------------------
> Syed Abul Basher
> Qatar Central Bank
> P.O. Box 1234
> Doha, Qatar.
> ---------------------------
>
>
>
>
> ----- Original Message ----
> From: Jan Lid 
> To: statalist@hsphsun2.harvard.edu
> Sent: Tue, March 1, 2011 7:44:44 PM
> Subject: st: fixed effect correcting auto correlation and heteroskedasticity
>
>
> 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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