I have an unbalanced panel dataset (N = <6,000 and spans 1998-2014). I am dealing with a dependent variable that is censored (some firms take specified action and others do not), so I'd like to use this variable as my DV in the probit model (stage 1 of Heckman). In stage 2, my DV is a measure that captures the extent (dollars spent) to which firms participate in the activity investigated in stage 1.
My question is this -- how do I address heteroskedasticity and autocorrelation (at the same time) in this model? I am unsure as to whether the Heckman is appropriate, given the heteroskedasticity and autocorrelation that is present in the dataset. If it is not appropriate, does anyone have suggestions as to what type of model I should try using instead?
Thanks!
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My question is this -- how do I address heteroskedasticity and autocorrelation (at the same time) in this model? I am unsure as to whether the Heckman is appropriate, given the heteroskedasticity and autocorrelation that is present in the dataset. If it is not appropriate, does anyone have suggestions as to what type of model I should try using instead?
Thanks!
This question has also been posted in StackExchange. Link below.
http://stats.stackexchange.com/quest...l-within-stata
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