Hi everyone,
I have a panel dataset (an unbalanced one) and I have a question about robust standard errors. The code I've used is the following:
xtset country_num year
xtreg salience_mean year, vce(robust)
Essentially, I have data for different countries for a period of roughly 30 years and I want to see how the salience_mean variable grows over time.
I read that the vce(robust) option provides White's heteroskedasticity estimator. However, I'd like to do the following:
1) test for autocorrelation/serial correlation
2) use a standard error that is robust to autocorrelation/serial correlation as well as heteroskedasticity. I think this would be what some call "White-Arellano estimator" (correct me if I'm wrong)
I tried to look for an answer but it's still unclear to me how to implement the two points above.
Thank in advance for your help!
Related Posts with White-Arellano estimators
Two-part modeling: combination of LCA and LPAHi Statalists, I was trying to do a two-part modeling for my dataset, in which observed vars are ze…
[Help] Marginal effect on StataHi. My question is from Stata (15.1), but also requires some statistical knowledge, which is why I a…
Renaming VariablesI am using STATA 15. I have a large data set with multiple columns and rows. I am interested in two …
Using Loops to Convert Strings With Letters to Numeric ValuesHello Stata Users :-) I have a dataset comprised of 71 variables containing responses to items on a…
PCA with weights?Dear All, I was wondering if weights should be used with the PCA command when constructing an index …
Subscribe to:
Post Comments (Atom)
0 Response to White-Arellano estimators
Post a Comment