Dear Statalisters,
I have the following problem but couldnt solved it quite sometime. I have a
panel data set consists of 30 countries and 17 years. I have performed
several tests (such as Hausman test, Breush-Pagan test, autocorrelation
test, and and heteroskedasticity test) that indicate XTGLS is correct
procedure in my case. But I have realized that XTGLS postestimation can not
produce e(RSS) which is necessary to test (Chow's F test) the equality of
coefficients across two different groups (in my case: developed and
developing countries). XTGLS postestimation can produce e(b) and e(V) which
can be used to calculate the WALD test,asymtotically very similar to Chow's
test. Something like that:
W = (RB-r)'(R*V*R')(Rb-r)
The problem is how I can create a restriction matrix "R" when I try to
compare the sets of all coefficients from two regressions.
The model I am estimating is:
xtgls LIIT LAVGDP LDIFGDP LAVGDPP LDIFGDPP LDIST LMFDIOUT LEXCH, panels
(hetero) corr(ar1) igls force
I tried to use xtreg,re procedure to calculate Chow test as follows:
xtreg LIIT LAVGDP LDIFGDP LAVGDPP LDIFGDPP LDIST LMFDIOUT LEXCH if
core==1,fe vce(robust)
est store core
gen residualcore=e(rss)
gen ncore=e(N)
xtreg LIIT LAVGDP LDIFGDP LAVGDPP LDIFGDPP LDIST LMFDIOUT LEXCH if
periphery==1,fe vce(robust)
est store periphery
gen residualperiphery=e(rss)
gen nperiphery=e(N)
xtreg LIIT LAVGDP LDIFGDP LAVGDPP LDIFGDPP LDIST LMFDIOUT LEXCH,fe vce
(robust)
est store total
gen residualtotal=e(rss)
gen k=7
gen F1=residualtotal-(residualcore+residualperiphery)/k
gen F2=(residualcore+residualperiphery)/((ncore+nperiphery-2)*k)
But this procedure is not correct when you have autocorrelation and
heteroskedasticity problem. Can I use REG procedure to calculate FGLS with
panel data? If I can, then I can easily compare coefficients using SUEST.
Any help wilp be appreaciated,
Kemal Turkcan
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