Tagged Questions
4
votes
0answers
285 views
How to correct for heteroskedasticity in fixed effects panel regression with correction for clustered standard error?
I am a student at RSM and I have a question regarding my regression analysis for my thesis as I have encountered issues I do not know how to deal with.
I have performance data (dependent variable) of ...
2
votes
1answer
111 views
How should I fit heteroskedasticity by group?
I am trying to fit panel data to a model of the form
$$y_{t,i} = \sum_{j} X_{t,i,j} \beta_j + \sum_k Z_{t,i,k} \gamma_{i,k} + \sigma_i \epsilon_{t,i},$$
where the regressors $X$ and $Z$ are observed ...
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 ...
3
votes
2answers
1k views
Why do I get different heteroscedasticity robust standard errors in R when using the plm package?
I am now writing my bachelors thesis and I have come across some difficulties. I am about to do some panel regressions with time and entity fixed effects and I would therefore like to use the plm ...
