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RE: st: pls help! correcting serial correlation in fixed effect model
From |
"Schaffer, Mark E" <[email protected]> |
To |
<[email protected]> |
Subject |
RE: st: pls help! correcting serial correlation in fixed effect model |
Date |
Wed, 11 Apr 2007 10:22:38 +0100 |
Sam,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> [email protected]
> Sent: 11 April 2007 06:43
> To: [email protected]
> Subject: RE: st: pls help! correcting serial correlation in
> fixed effect model
>
> Thanks a lot. I will look into it.
> How about putting the dummies myself and then using newey2?
Offhand ... you should get the same results.
--Mark
> Thank you again.
>
> Sams
>
>
>
> Quoting "Schaffer, Mark E" <[email protected]>:
>
> > 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/
> >
>
>
>
>
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*
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