st: Heteroskedasticity in FE model

[Giovanni Canitano <giovanni.canitano@cce.unifi.it>]

Hy friends,

 

I have estimated my FE model with the command xtreg varlist, fe.

 

1) Obviously, Stata has dropped the variables time invariant. To obtain the coefficient of these variables I have retained the fixed values by the command

 

predict var,u

 

and then I have done an OLS using:

 

reg var timeinvariant. Is this procedure correct?

 

2)To be sure of my procedure I have estimated my model by an LSDV. Why are the coefficients of the time-invariant variables roughly similar (but not equal) to those one worked out with the Fixed Effect model? And Why are the standard errors completely different?

 

3) I suppose to have heteroskedasticity in my dataset. How Can I test this one? Is "xttest3" sufficient? I also tried the White�s test for heteroskedasticity, not using "whitetst", but following the theoretical procedure. Is it correct for Panel Analysis?

 

4) All these test showed the presence of heteroskedasticity. So I decided to use a GLS model (for STATA xtgls varlist, p(h)). Why do I receive different results, using the iterated methodology (igls) instead of the basic one? And what is the best?

 

5) I've tried to test the autocorrelation by the command xttest2 but I have alwaiys the same error: the correlation matrix is singular. What does it really mean?

 

6) If the theory suggests me that the Fixed Effect model is better than the others, How can I do in presence of heteroskedasticity or autocorrelation? Could I estimate a Fixed Effect GLS?

 

Thank you

 

Giorgio