Hi Dolores,
Thanks for the info. But when I mean correlation between panels I
mean that the errors for unit i are correlated with the errors for
unit j. I am assuming that the errors are independent across time
i.e. no autocorrelation.
Do you know how to do this in a fixed effects framework? I was
thinking of using xtgls with a dummy of ones for each different unit
to capture the fixed effects, but was hoping that there might be a
better way.
Thanks.
Ash.
--- In [email protected], D Jimenez Rubio <djr109@y...> wrote:
> Hi Ash!!
> Im not sure if it will help you because I don't know if I understood
> well your query. First of all, what do you mean by correlation
between
> panels? Do you mean autocorrelation of errors? If that is your case,
> that is, you want to test for autocorrelation, then you can use the
> option xtregar,lbi. The command xtregar assumes theres autocorr of
order
> 1. and the command lbi afterwards will allow you to test the null
> hypothesis of no autocorr (it generates a modified version of the
Durbin
> Watson test for panel data). I don't know if it is of some help,
but let
> me know as im doing right now the same as you, ie, im running also a
> panel data with fixed and random effects.
>
> Dolores (University of York, UK)
>
> -----Original Message-----
> From: owner-statalist@h...
> [mailto:owner-statalist@h...] On Behalf Of Ash Alankar
> Sent: 19 June 2003 15:41
> To: statalist@h...
> Subject: st: Fixed Effects Panel Regression with correlation between
> panels
>
>
> Hi,
>
> I have a panel data set and would like to run a fixed
> effect
> regression (different constants for each panel)
> accounting for
> correlation between the error structure of each panel.
> It seems that
> xtreg, fe does not allow for this. Is xtgls the
> appropriate command
> to use, i.e. does it implicitly estimate a fixed
> effects model? (I am guessing it does not and simply
> restricts to constant to be equal for all individuals (panels)).
Any
> insights would help.
> Thanks in advance.
>
> Ash.
>
>
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