Re: st: Fixed effects panel in presence of heteroscedasticity and autocorrelation

[Natalie Trapp <natalie.trapp@zmaw.de>]

Hi Volker,

thank you very much!

Regards,
Natalie

Am 21/06/2011 18:02, schrieb Volker Ludwig:
> Hi Natalie,
>
> xtreg ... , fe vce(robust) and xtreg ... , fe vce(cluster idvar) give 
> identical results.
> The s.e. are robust against both heteroscedasticity and autocorrelation.
> Stock / Watson (2008, Econometrica) propose alternatives that give 
> more efficient s.e. in case there is no serial correlation or the 
> correlation can be modelled by a moving average.
>
> Best
> Volker
>
>
> Am 21.06.2011 17:13, schrieb Natalie Trapp:
> > 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
> > *
> > *   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/


--

Natalie Trapp

Hamburg University
Centre of Marine and Atmospheric Sciences
Research Unit Sustainability and Global Change
Bundesstrasse 55
20146 Hamburg

PhD Student at the International Max Planck
Research School on Earth System Modelling

Tel:     +49 40 42838 4121
Fax:     +49 40 42838 7009
E-mail:  natalie.trapp@zmaw.de

*
*   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/