Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Solving the moving average in the error structure in a panel data fe estimation.
From
Carolina Lennon <[email protected]>
To
[email protected]
Subject
st: Solving the moving average in the error structure in a panel data fe estimation.
Date
Mon, 22 Feb 2010 11:38:13 +0100
Dear Stata users,
I am working with a fixed effect model.
My dependent variable is the sd of the growth rate of countries GDPs,
calculated over a period of 5 years. The explanatory variables are in
standard deviation as well and they are calculated over the same period of
years.
I would like to use the overlapping sample ideally using fe estimation,
though for that I would need to correct for the outocorrelation generated by
the moving average!
That said, do you know if STATA has an option to correct this problem for
panel data! Ideally for fixed effect estimations?
If there were not, it is possible to program a new tipe of VCE matrix
(adjusting by the number of data overlaps)?
Many thanks
--
Carolina Lennon
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/