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st: Correction for Autocorrelation and Heteroskedasticity


From   June <junebridge25@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Correction for Autocorrelation and Heteroskedasticity
Date   Mon, 07 Jan 2013 10:11:44 -0500

Hi everyone,

I'm having trouble understanding what's going on when I correct for autocorrelation and heteroskedasticity in panel data. From what I understand, these are issues that affect the standard errors, and not the point estimate, in a regression. However, when I try to adjust for these issues using either xtgls or xtregar, my coefficients estimates change a lot, sometimes even changing signs! Can anyone explain why this would happen, or point me towards resources that would explain it?

For the record, I'm using stata 12, and comparing my results from:
xtreg y x1 x2 x3, fe                   // no corrections
xtgls y x1 x2 x3 i.groupvar, panels(i) corr(ar1) force // correct for ar1 autocorrelation xtgls y x1 x2 x3 i.groupvar, panels(hereto) corr(i) force // correct for heteroskedastic errors xtgls y x1 x2 x3 i.groupvar, panels(hereto) corr(ar1) force // correct for both xtregar y x1 x2 x3, fe rhotype(regress) // correct for ar1 autocorrelation

Thank you!
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