Hello,
I am trying to run a panel fixed effects regression to investigate a non-linear relationship between government debt and economic growth. I am following the methodology of past empirical studies which all correct for heteroskedasticity and "autocorrelation up to order 2". What command do I use to correct for autocorrelation up to order 2? Furthermore, all studies use country- and time-fixed effects. I am struggling to incorporate all of this into a single regression command. Notably, all explanatory variables are lagged by one year.
My current regression command is: xtreg gdp_cap_g L1.debt L1.debt_sq L1.gov_bal L1.gov_rev L1.ln_gdp_cap L1.gfcf L1.pop_growth L1.openness L1.inflation i.year, fe vce(cluster country1)
Many thanks
I am trying to run a panel fixed effects regression to investigate a non-linear relationship between government debt and economic growth. I am following the methodology of past empirical studies which all correct for heteroskedasticity and "autocorrelation up to order 2". What command do I use to correct for autocorrelation up to order 2? Furthermore, all studies use country- and time-fixed effects. I am struggling to incorporate all of this into a single regression command. Notably, all explanatory variables are lagged by one year.
My current regression command is: xtreg gdp_cap_g L1.debt L1.debt_sq L1.gov_bal L1.gov_rev L1.ln_gdp_cap L1.gfcf L1.pop_growth L1.openness L1.inflation i.year, fe vce(cluster country1)
Many thanks
