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  • heteroskedasticity

    Hello.

    im actually working on my dissertation which on the impact of dtt on FDI.

    To start with, i test for correlation for my variable ( there were correlation among some of my iv)
    - test for unit root ( variable are statationary)
    -run my ols
    -run the fixed effect (xtreg ,fe)
    -run the random effect ( xtreg, re)
    -hausmn test (hausman fe re sigmamore)- hausman select the fixed effect

    should i test for cross section dependence , heteroskedasticity, autocorrelation?

  • #2
    Lovish:
    please (re) read the FAQ on how to post (more) effectively (by the way: what is dtt? and FDI?).
    That said, if you have a large N, small T panel dataset (as -xtreg- would imply) and you suspect heteroskedasticity and/or autocorrelation, you should simpy robustify or cluster your standard errors.
    Kind regards,
    Carlo
    (Stata 19.0)

    Comment


    • #3
      dear carlo
      my title is the impact of double taxation treaty on foreign direct investment
      i have taken a sample of 12 SADC countries for the period 1990-2012.




      Comment


      • #4
        Lovish:
        so you have a small N, large T panel dataset and -xtreg- is not the best approach; I would look at -xtpcse- and -xtgls- commands, instead.
        Kind regards,
        Carlo
        (Stata 19.0)

        Comment


        • #5
          im testing for cross sectional dependence for the fixed effect.
          here are the results
          Breusch-Pagan LM test of independence: chi2(66) = 115.530, Pr = 0.0002
          Breusch-Pagan LM test of independence: chi2(66) = 115.530, Pr = 0.0002
          Based on 22 complete observations

          . xtcsd, pesaran abs


          Pesaran's test of cross sectional independence = -0.354, Pr = 0.7231

          Average absolute value of the off-diagonal elements = 0.219

          i have no idea to interprete the result

          Comment


          • #6
            Lovish:
            as per FAQ, please state where you got the user-writen programmes -xttest2- and -xtcsd- from. Thanks.
            How to intepret the results of -xtcsd, pesaran- is covered in the -xtcsd- dedicated article that you can download free of charge from http://www.stata-journal.com/sjpdf.h...iclenum=st0113.
            As per the seemingly conflicting results, they may depend on the fact that you seem to have a very limited number (22) of complete observations.
            Kind regards,
            Carlo
            (Stata 19.0)

            Comment

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