Or -xtivreg2-, which has a Newey-West option as well as other
kernel-robust vcv estimators and will work with models in which there
are no endogenous regressors.
But bear in mind (a) these kernel-robust approaches to serial
correlation (usually) need the T in an NT panel to go off to infinity
for the asymptotics to work, whereas most panels in practice are small-T
large-N panels; and (b) the -cluster- option for -xtreg,fe- or
-xtreg,re- (or -xtivreg2- for that matter) gives results that are
consistent in the presence of arbitrary serial correlation. -cluster-
may be the simplest answer.
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Stas Kolenikov
> Sent: 09 April 2007 14:43
> To: [email protected]
> Subject: Re: st: pls help! correcting serial correlation in
> fixed effect model
>
> You can look at -xtdata, fe- transformation, and then run -newey,
> nocons- on it. The help file for -newey2- says it does run
> with panel data, although, as far as I can recall, there
> might be some issues with running it that way.
>
> On 4/9/07, [email protected] <[email protected]> wrote:
> > Hi
> > I have sent a question but did not get any answer. I need
> to correct
> > serial correlation in fixed effect model. as far as I understand
> > newey2 cannot work in fixed or random effect model. Is it right? Is
> > there any command in stata to correct for serial
> correlation in stata?
>
> --
> Stas Kolenikov
> http://stas.kolenikov.name
> *
> * 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/
