Hi
I have a problem with my panel data (9 states, 20 years)
I have heteroscedasticity, cross sectional dependence, serial correlation and I need to include time effects as well. Which standard errors should I use. If I use xtscc I would have to drop the time effects. If I used clustered I would have not correct for cross sectional dependence.
I notice in this paper: https://www.degruyter.com/downloadpd...-2015-0167.pdf they correct for everything above:
"We employ a method to estimate standard errors and hypothesis tests robust to heteroskedasticity, serial correlation, and spatial correlation developed by Vogelsang (2012) that extends the Driscoll and Kraay (1998) approach with state fixed effects to a setting with state and time effects"
Is this possible to do in stata?
Regards Rob
I have a problem with my panel data (9 states, 20 years)
I have heteroscedasticity, cross sectional dependence, serial correlation and I need to include time effects as well. Which standard errors should I use. If I use xtscc I would have to drop the time effects. If I used clustered I would have not correct for cross sectional dependence.
I notice in this paper: https://www.degruyter.com/downloadpd...-2015-0167.pdf they correct for everything above:
"We employ a method to estimate standard errors and hypothesis tests robust to heteroskedasticity, serial correlation, and spatial correlation developed by Vogelsang (2012) that extends the Driscoll and Kraay (1998) approach with state fixed effects to a setting with state and time effects"
Is this possible to do in stata?
Regards Rob
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