Tagged Questions
1
vote
0answers
18 views
A good primer on how people deal with cluster-wise autocorrelation in mixed models?
The courses that I've taken have been primarily in the economics department, but I've been learning more of stats more broadly recently. One thing that I don't understand well is how exactly people ...
0
votes
0answers
58 views
Is there a serial autocorrelation test for FGLS-FE fitted with pggls function in R?
a simple question here: is there any AR1 and AR2 test for FGLS-FE fitted with the pggls function of plm package in R?
(one example would be the Baltagi-Wu LBI test)
Thanks for your attention!
1
vote
0answers
29 views
Adding a history flag variable to panel data with possible auto-correlation
I have a pretty basic question. A client has given me a data set with tens of thousands of subjects. Each subject has from one to about ten separate records. These records cover successive ...
5
votes
4answers
3k views
How to perform pooled cross-sectional time series analysis?
For 86 companies and for 103 days, I have collected (i) tweets (variable hbVol) about each company and (ii) pageviews for the corporate wikipedia page (...
2
votes
0answers
176 views
Lag Selection Modelling 'Pseudo' Panel Data
I have what I would call a pseudo panel, where my dependent variable varies over time and space (regional death counts), but my x variable of interest does not (national wage time series).
Basically, ...
4
votes
3answers
6k views
Autocorrelation and heteroskedasticity in panel data
In the research, both autocorrelation and heteroskedasticity are detected in panel data analysis. I can solve them separately in stata with command "xtregar" and "robust", respectly. However, I cannot ...
2
votes
0answers
562 views
Panel Data: In a fixed effects model, does auto-correlation introduce bias?
Given a panel of countries over time, a fixed effects estimator makes sense to control for country-specific effects. My intuition tells me that if the dependent variable is correlated with lags of the ...
