Thanks Cordula
I tried
xtgls y x1 x2 x3, force p(corr)
but it appears the message
panels must be balanced
what is wrong?
>>> [email protected] 05/25/04 7:37 PM >>>
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 <[email protected]>
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
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
