RE: st: pls help! correcting serial correlation in fixed effect model

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Sam,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> sams@aitlbd.net
> Sent: 11 April 2007 06:43
> To: statalist@hsphsun2.harvard.edu
> 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" <M.E.Schaffer@hw.ac.uk>:
> 
> > 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: owner-statalist@hsphsun2.harvard.edu
> > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stas 
> > > Kolenikov
> > > Sent: 09 April 2007 14:43
> > > To: statalist@hsphsun2.harvard.edu
> > > 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, sams@aitlbd.net <sams@aitlbd.net> 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
> > > *
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> > > 
> > 
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> 
> 
> 
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