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| From | Cunner <esser.flo@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: Regression specification |
| Date | Thu, 18 Jul 2013 01:05:08 -0700 (PDT) |
Hi everyone, being quite new to (advanced) econometrics I am struggeling a bit about the seemingly unlimited STATA commands to chose from when estimating my model. I have a strongly balanced panel with large N (101) and small T (6 years). In order to determine the "correct" estimation model, I run several tests: 1. Heteroscedasticity: xttest3 ---> Heteroscedasticity present 2. Autocorrelation: xtserial ---> Autocorr present 3. RE vs. FE: xtoverid..., robust ---> P-vaue = 0.000 (do I understand it correctly, that this means using FE?) 4. Cross-sectional dependence: xtcsd, pesaran abs and xtcsd, frees ---> CSD present Based on this, I would use xtscc..., fe to use Driscoll Kraay standard errors. I have several additional questions: 1. If I were to include the lagged independent variable as a dependent variable would I have to use xtabond2? What would be the alternatives? 2. When can I use xtgee? Is this just appropriate for RE-models? 3. Is it correct to use xtpcse only for long panels? Why would I use it instead of, e.g. xtgls? 4. I have rarely seen paper (in strategy research) testing for time-fixed effects (testparm for the Year dummies). How "required" is this? 5. Are there any other tests I should run? I know that are a lot of - and probably beginner - questions - but your help is greatly appreciated. Thanks in advance! -- View this message in context: http://statalist.1588530.n2.nabble.com/Regression-specification-tp7580400.html Sent from the Statalist mailing list archive at Nabble.com. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/