RE: st: fixed effect correcting auto correlation and heteroskedasticity

[Jan Lid <hhb010@hotmail.com>]

Total N is ci 1200. Divided in ci 150 groups So large N.  T is ci 12 periods if T stands for time (not entirely sure...). My paneldata is unbalanced.

Is the t and N-large enough to use stscc or better to use cluster option?

Thx for the help!

----------------------------------------
> Subject: RE: st: fixed effect correcting auto correlation and heteroskedasticity
> Date: Tue, 1 Mar 2011 12:25:43 -0500
> From: wooldri1@msu.edu
> To: statalist@hsphsun2.harvard.edu
>
> What are the dimensions of your N and T (roughly?) Many of the routines
> that claim to correct for serial correlation and/or heteroskedasticity
> are only guaranteed to work (in the sense of eliminating the problems)
> when T is fairly large.
>
> If N is large and T is not very large, the "cluster" option after FE --
> or, for that matter, RE -- is attractive. So
>
> xtreg y x1 ... xk, fe cluster(csid)
>
> where csid is the cross section identifier. The resulting standard
> errors are completely robust to any kind of serial correlation and/or
> heteroskedasticity. The other approaches assume parametric forms and,
> like I said, typically rely on large T approximations.
>
> Jeff
>
> Jeffrey M. Wooldridge
> University Distinguished Professor
> Department of Economics
> Michigan State University
> 110 Marshall-Adams Hall
> East Lansing, MI 48824-1038
> Phone: 517-353-5972
> Fax: 517-432-1068
> http://www.msu.edu/~ec/faculty/wooldridge/wooldridge.html
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jan Lid
> Sent: Tuesday, March 01, 2011 12:20 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: fixed effect correcting auto correlation and
> heteroskedasticity
>
> 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.
>
> ----------------------------------------
> > 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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> >
> >
> >
> >
> > *
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> > * http://www.ats.ucla.edu/stat/stata/
>
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