Hi,
Sorry that I forgot to address this question to Statalist.
For my question, I run fixed effect model with 16 years, 10 countries
and 12 variables.
I check serial correlation from xtserial command and found the problem.
So, I have to correct this problem but I don't know how to correct it
by using stata.
Can you please suggest me which command that I can use to correct this problem.
Thanks,
On 4/19/07, Austin Nichols <austinnichols@gmail.com> wrote:
Keynes M. Smith--
Kindly address Stata questions to Statalist. The cluster option
estimates SEs robust to arbitrary intra-cluster correlation, assuming
you have enough clusters to allow correct inference, with 50 or more
being a good rule of thumb. Thus, if you are worried about serial
correlation within US states, and you have data on 50 states and the
District of Columbia, you can
xtreg y x, cluster(state) fe
but -xtivreg2- offers a panoply of SE options. -findit xtivreg2- and
-findit ivreg2- and install, then read the help files. As for
heteroskedasticity, you may be interested in -xtscd- and -xttest3-
(both user-written).
You may also want to invest in a copy of Baum's book:
http://www.stata.com/bookstore/imeus.html
On 4/19/07, Keynes M. Smith <econtu@gmail.com> wrote:
> Hi,
>
> Could you please suggest me how to correct autocorrelation in fixed
> effect model?
>
> Besides, how can I check heteroskedastic in fixed effect model.
>
> Regards,
>
> A. Sura
>
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