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From |
Jan Lid <hhb010@hotmail.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: testing heteroksedasticity and autocorrelation fixed effect model |

Date |
Wed, 2 Mar 2011 11:10:34 +0100 |

Hi everybody, I was wondering if it is a necessary to test for heteroskedasticity and autocorrelation in either a fixed or random effect model? Or can i just ust he cluster (csid) option that will correct in case there is heteroskedasticity and autorcorrelation and won't correct for it in case there isn't. I can´t see to find a good way of testing for thm in a fixed effect model. Thx! ---------------------------------------- > From: hhb010@hotmail.com > To: statalist@hsphsun2.harvard.edu > Subject: RE: st: fixed effect correcting auto correlation and heteroskedasticity > Date: Tue, 1 Mar 2011 18:59:35 +0100 > > > 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. > > > * > > > * For searches and help try: > > > * http://www.stata.com/help.cgi?search > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > > > > > > > > > > * > > > * For searches and help try: > > > * http://www.stata.com/help.cgi?search > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: testing heteroksedasticity and autocorrelation fixed effect model***From:*"Wooldridge, Jeffrey" <wooldri1@msu.edu>

**References**:**st: fixed effect correcting auto correlation and heteroskedasticity***From:*Jan Lid <hhb010@hotmail.com>

**Re: st: fixed effect correcting auto correlation and heteroskedasticity***From:*Syed Basher <syed.basher@yahoo.com>

**RE: st: fixed effect correcting auto correlation and heteroskedasticity***From:*Jan Lid <hhb010@hotmail.com>

**RE: st: fixed effect correcting auto correlation and heteroskedasticity***From:*"Wooldridge, Jeffrey" <wooldri1@msu.edu>

**RE: st: fixed effect correcting auto correlation and heteroskedasticity***From:*Jan Lid <hhb010@hotmail.com>

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