Re: st: fixed effects & autocorrelation& heteroskedasticity

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

Toni,

There's also a command -xtserial- testing for first-order autocorrelation 
with panel data. You should get it from

findit xtserial

To test for heteroskedasticity, there's also a "helpfile" online at

<http://www.stata.com/support/faqs/stat/panel.html>

If you then use xtgls and you have heteroskedasticity & autocorrelation, 
you can correct for both with xtgls, using either panels (corr) or 
corr(ar1) -whichever is appropriate- and panels(heteroskedastic)to correct 
for heteroskedasticity. If you have an unbalanced panel, you need to use 
the force option, i.e.

xtgls..., force...

Hope this helps.

Cordula

--On 25 May 2004 18:43 +0200 Antonio Rodrigues Andres <ara@sam.sdu.dk> 
wrote:


> I have a doubt on panel data. First, I have some prior beliefs that some
> of the explanatory variables are correlated with some indivvidual
> specific effects. I use the Hausman test which indicates that the fixed
> effects model is more appropriate than random effects.
>
> My next step was to check autocorrelation in the fixed effects model.
> For that, I use the command xtregar, fe which already corrects for ar(1)
> in the error term. I got low values of the BFN and high rhos (0.85,
> 0.90). This indicates the presence of autocorrelation. To check the
> problem of heteroskedasticity in the fixed effects model, i just use the
> command xttest3. I reject the null hypothesis and therefore there is
> groupwise het.
>
> Now , I dont know how to proceed. I should type
>
> xtgls dep.var inde.var i.country, panel(corr)
> This would account for heteroskedasticy and autocorrelation?
>
> If this were correct, the problem is that my panel is unbalanced and
> xtgls doesnt allow unbalanced panels
>
> Any suggestion
> Toni
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