Re: st: panel with cross-sectional dependence nd endogeneity

[jninkov@emory.edu]

Quoting nicola.baldini2@unibo.it:

hi Nicola,

it seems that your answer is usefull for me, too. namely, I asked about 
how to estimate random effects with robust errors. the question still 
stays: which Stata version are you using? I can not find command xtscc 
in my 9.2 version. and what about dashes? could you, please, clarify?

thank you so much.
Jasminka


> -xtscc- (remember the dashes!) is useful for both cross-sectional 
> dependence and heteroskedasticity, while fixed effects (it's one of 
> the two options) allows for endogeneity
> Nicola
> At 02.33 21/09/2007 -0400, "Ivan Etzo" wrote:
>
> > Dear All,
> >
> > my panel (N=3D2660 ; T=3D7) presents either heteroskedasticity = 
> > (lrtest and xttest3) endogeneity and cross-sectional dependence 
> > (xtc= sd test). Moreover there is also serial correlation (xtserial 
> > test).
> > Thank to statalist I found useful commands to correct my analysis 
> > bu= t I haven't found a way to cope with all of them together yet.&=
> > nbsp;The command xtscc for ex. is useful for the cross-sectional 
> > dependen= ce (nd maybe also heteroskedasticity..?) but not in the 
> > case of endogenou= s covariates. For the endogeneity problem, I 
> > tried different commands lik= e ivreg2 and xthtaylor, the last one 
> > give nice results in terms of expect= ed coeff signs and their 
> > significance, but they don't provide correct SE = for cross-sect 
> > dependence. Xtgls seems good for heteroskedasticity (= and serial 
> > correlation) but not for endogeneity.
> > I can say that I'm new with empirical analysis and panel data so 
> > eve= ry suggestion or comment would be pretty appreciated.
> >
> > thanks to all
> >
> > Ivan
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