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In other, previous papers with similar sample sizes and topic, I have seen that they usually either go for a simple one or two way fixed effects model or rely on simple robust SE such as White SE. However I am aware that Stock and Watson (2008) showed that these are inconsistent, so this option is also ruled out for my data.. On 20 September 2011 13:29, Gordon Hughes <G.A.Hughes@ed.ac.uk> wrote: > You will probably get almost as many views about what constitutes large T > and/or large N as the number of people you consult. The answer is very > dependent upon the type of data which you are analysing, because panel data > comes in many different forms. However, as Mark says, no one would believe > that 11 gets close. > > For -xtscc- you are dealing with large T asymptotics, so the reference point > would be time series asymptotics. If you have annual data I doubt whether > anyone would rely on large T results for T much below 30 and some might be > much stricter. The problem, of course, is that many panel datasets don't > meet that criterion, in which case you have to start to think carefully > about what you are trying to estimate. That is the point which underlies > Mark's original suggestion. Your response indicates that you may be trying > to get too much out of some rather noisy - or complex - data. > > Gordon Hughes > g.a.hughes@ed.ac.uk > > ===================================== > > Date: Tue, 20 Sep 2011 02:12:43 +0300 > From: christina sakali <christina.sakali@googlemail.com> > Subject: Re: st: RE: xtscc and small samples (equal size T and N) > > Dear Mark, thanks a lot for the advice and recommendations. > > I am a bit reluctant to go for just the simple 2-way fixed effects > model, since after implementing the necessary tests, I have found that > my residuals suffer from both heteroscedasticity and cross-sectional > dependence, so I am looking for an estimator to account for both of > these problems. > > Does the inclusion of time fixed effects correct for > heteroscedasticity and/or cross-sectional dependence and how exactly > is this achieved? (or can you suggest some reference where I can find > some more information on this issue). > > Can you also please clarify this for me: What is the minimum (more or > less) sample size required for the use of estimators that rely on > large T and N asymptotics? > > Thank you again. > > Christina > > > * > * 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/ > * * 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/