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  • Panel data with heteroskedasticity and autocorrelation

    Hello and thank You in advance!
    I am performing a time series regression with N=650 and T=1, since my model shows evidence of serial correlation and heteroscedasticity, what method would be the most suitable in this case, to get corrected standard errors??
    I have tried to use the -xtscc- command but it returns me the following error:

    Code:
     xtscc euribor MEonia
                  driscoll():  3301  subscript invalid
                     <istmt>:     -  function returned error
    r(3301);
    it seems a problem with my dataset but if I use the -reg- command it didn't appear, could anyone help me ??

    Thanks

  • #2
    Fabio:
    welcome to this forum.
    For the future, please report that -xtscc- is an user-written command (the reason for this request is reported in the FAQ).
    The first thing that I would check is the last update of my Stata version.
    Kind regards,
    Carlo
    (Stata 18.0 SE)

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    • #3
      Hi, fabio, Please consider (help) -newey- command. The command -xtscc- should be more suitable for panel data, not time series.
      Ho-Chuan (River) Huang
      Stata 17.0, MP(4)

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      • #4
        If you have T=1 your data is not panel data.

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