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check hetroscedasticity in random effect model in STATA and FGLS as a solution
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- Опубліковано 12 чер 2017
- check heteroscedasticity in random effect model in STATA FGLS as a solution when heteroscedasticity and autocorrelation are present.
Can xtgls be used in FE model? Dou we need dummy time n individual for xtgls?
Is it necessary to transform data into panel data before running panel data tests?
Yes, please declare in the stata that you are using a panel data set.
hie, is it necessary to test for endogeneity after this? how do you test for it if necessary
How do we know which variables we should take the in d. form? look forward to hearing from you
d here means differenced variables or the variables made stationary after differencing. Sorry, I am late in answering.
When i fix it by use command “xtgls y x1 x2” ,the results of the fixed effect and the random effect are the same. However I should use random effect. How i make sure that result of command “xtgls” are the result of random effect?
Please help..
Hlo sir. It's very nice information. I have a question that after hausman test. M using random effect in stata 12 but unable to run command pesaran abs. Why?? Is there other alternative??? My panel is of 27 cross sections but three time points I.e. 1991, 2001 2011. So fgls may not be feasible kindly suggest
1).
Please use the command 'itmeus', it will install all necessary comands
2). this manuscript answers your question- www.tandfonline.com/doi/abs/10.1080/00036840802600087.
In case of fixed effect having hetero, and cross sectional dependence but no serial correlation, can we use FGLS ?
Please see this paper "Which panel data estimator should I use?" for understanding the all criteria. It will certainly help.
good job dude
Good morning MadeEasy. Please can I get the do files so that I can get the command very well Thank you
Good Evening Sir
i have been selected random model after hausman test but unable to check hetroscedasticity because it is showing that convergence not achieved so what should i do?
which software and platform are you using? sorry I am very late to reply
Can u tell me the source of this test ?
i have a question. Can we use command "xtreg-, re vce(cluster id) to fix heteroskedasticity and autocorrelation ?
vce(cluster id) controls for autocorrelation within clusters. im not sure though if it also controls for heteroscedasticity, or if you have to use vce(robust) in that case
Your answer is here. www.tandfonline.com/doi/abs/10.1080/00036840802600087
Instead use only xtreg.., re cluster(id) to solve for both heteroscedasticity and autocorrelation problem
Stata 15.1 is not allowing xtgls
Plz how can I do this command
Can I use breusch and pagan lm test in stata make decision if to use pooled model or panel models: pooled regression vs fixed effect/random effect
Yes please do it
I am very confused at the moment, isn't Breusch Pagan test used for comparison between Pooled regression and Random effect model??? e I need to decide if to use pooled regression or panel models for analysis? ?? So as per my limited knowledge BP LM test is used for comparison between Pooled regression and Random effect model. PLs. help me out Many people used F test and Standard LM test for this purpose which are unfamiliar to me.
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Hi Sir
Stata is not allowing imhet
Please use the command 'itmeus', it will install all necessary comands.
not working dear
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