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Re: st: heteroscedasticity in dymamic fixed effects (or LSDV) models
From
joales salbdralor <[email protected]>
To
[email protected]
Subject
Re: st: heteroscedasticity in dymamic fixed effects (or LSDV) models
Date
Sat, 9 Jun 2012 21:15:03 +0100
I would also like to mention that sometimes some variables get dropped
mysteriously when applying xtsset3. Some other times, though , is
fine.Why is this the case?
thank again
On 6/9/12, joales salbdralor <[email protected]> wrote:
> HI all,
>
> I have a usual panel data set on some variables that evolve across
> time and countries.
>
> I set up a dynamic panel fixed effects model
>
> and I test for heteroscedasticity using xttest3. So my next step is to use
>
> xtreg dependent variable, lagged dependent, rest variables , fe
> cluster(id)
>
> where id is the usual panel identifier.
> Checking for heteroscedasticity (using again xttest) I still find
> that I have heteroscedasticity.
>
> IS there any problem in my approach?
>
>
> thanks
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