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st: Fixed dffects panel data modeling in the presence of serial correlated and heteroskedastic errors
From
Thomas Jacobs <[email protected]>
To
StataList <[email protected]>
Subject
st: Fixed dffects panel data modeling in the presence of serial correlated and heteroskedastic errors
Date
Sat, 3 Jul 2010 10:38:10 -0500
Hi, I am trying to model a series of daily financial variables in
panel where the error structure displays serial correlation and
heteroskedasticity.
If I use xtregar I can capture the fixed effects but there is no
robustness to heteroskedasticity.
xtpcse has no option for fixed effects.
Is there another command out there someone could suggest? Thanks.
Tom
--
Thomas Jacobs
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