Hello everyone,
I have a panel data which consists of 13 countries from 1998-2016. After run fixed-effect model, I found that the model suffers from serial correlation, heteroskedasticity and cross-sectional dependence. I have read that by including robust/ cluster option will remove the problems. My question is, do we need to recheck the
(heteroskedasticity),
(serial correlation) and
(csd) again after we applied the robust/ cluster option? Or should I just proceed with other model e.g. fgls?
Your comments are highly appreciated.
Thank you!
I have a panel data which consists of 13 countries from 1998-2016. After run fixed-effect model, I found that the model suffers from serial correlation, heteroskedasticity and cross-sectional dependence. I have read that by including robust/ cluster option will remove the problems. My question is, do we need to recheck the
Code:
xttest3
Code:
xttest2
Code:
xtcsd, pesaran abs
Your comments are highly appreciated.
Thank you!
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