Re: st: random effects, heteroskedasticity & autocorrelation

[Cordula Stolberg <cs32@sussex.ac.uk>]

Mark,

Thanks for your reply. I have looked at that, as it happened to me in 
another regression. This time though, the model doesn't seem to have 
degenerated into a pooled OLS model, which really puzzles me. I think I 
might have to look at the set-up again.

Cordula

--On 12 May 2004 13:09 +0100 Mark Schaffer <M.E.Schaffer@hw.ac.uk> wrote:


> Cordula,
>
> Date sent:      	Wed, 12 May 2004 12:01:04 +0100
> From:           	Cordula Stolberg <cs32@sussex.ac.uk>
> To:             	statalist@hsphsun2.harvard.edu
> Subject:        	st: random effects, heteroskedasticity & autocorrelation
> Send reply to:  	statalist@hsphsun2.harvard.edu
>
> > Dear all,
> >
> > I have two questions with regard to a random effects model. How do I
> > test  for heteroskedasticity and autocorrelation in such a model? I know
> > I can  use xtgls if there is heteroskedasticity and / or
> > autocorrelation, but I  don't know how to detect it.
> >
> > Moreover -and this might be a very silly question- if I have a random
> > effects model and the Hausmann test tells me that the random effects is
> > better than fixed effects, how come that the results improve when I
> > include  country dummies in the random effects regression (the countries
> > would have  been the fixed effects)?
> With respect to your second question, I think you might find that by
> including the country dummies, your random effects estimation has
> degenerated into pooled OLS.  You can tell by checking whether the
> sigma_u that is reported by xtreg is zero.
>
> Hope this helps.
>
> --Mark
>
> > Thanks for your help,
> > Cordula
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>
> Prof. Mark E. Schaffer
> Director
> Centre for Economic Reform and Transformation
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS  UK
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