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st: Fixed effects panel in presence of heteroscedasticity and autocorrelation
From
Natalie Trapp <[email protected]>
To
[email protected]
Subject
st: Fixed effects panel in presence of heteroscedasticity and autocorrelation
Date
Tue, 21 Jun 2011 17:13:23 +0200
Dear Statalist,
I would like to estimate a panel model in presence of heteroscedasticity
and autocorrelation with individual effects.
However, I am unsure whether the estimator "xtreg..., fe vce(cluster
panelvar)" is consistent in presence of heteroscedasticity and
autocorrelation? In Cameron and Trivedi (2005, p. 335) I found that
"xtscc" could give consistent estimates of the VCE.
I would appreciate any help!
Best regards,
Natalie
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