Thursday, March 09, 2006

Re: st: both heteroscedasticity and autocorrelation

Mao: I am not particularly well versed in the analysis of panel data, but here is my five cents: Heteroscedasticity can be caused by model misspecification, so if you have evidence that your model is misspecified and you find heteroscedasticity than, you should first tackle the other problem and than see if your errors are still heteroscedastic afterwards. So in your case I would first tackle your autocorrelation problem and than see if the heteroscedasticty dissappeares. HTH, Maarten

--- wrote: > I encountered a problem with panel data when I attempted to run fixed-effects > and/or random effects models. My data set has both heteroscedasticity and > autocorrelation. I can not figure out how to mitigate the problems in stata 9. > Meanwhile, how should I run the hausman test for such probelmatic data?

----------------------------------------- between 1/2/2006 and 31/3/2006 I will be visiting the UCLA, during this time the best way to reach me is by email

Maarten L. Buis Department of Social Research Methodology Vrije Universiteit Amsterdam Boelelaan 1081 1081 HV Amsterdam The Netherlands

visiting adress: Buitenveldertselaan 3 (Metropolitan), room Z214

+31 20 5986715 -----------------------------------------

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