Panel data stata

[rizki karim]

I am currently doing my economic research, and I have several problems
I have been looking for the answer on blogs and YouTube but still confused.

I'm going to Use PANEL data, which consists of 6 nations and 22 years
The model is "UNEMPLOYMENT = Economic Diversification + INF + FDI + POP + ICT."

after the Hausman Test, the preferred model is the FIXED effect model

The question is: What is the appropriate test I have to use for multicollinearity?
VIF, or VIF UNCENTERED, or just CORR

and since my data has a heteroscedasticity problem, I want to treat, which is the most proper command
XTREG ROBUST FE, or XTSCC

sorry for my weak foundation in econometrics

thank you

[Carlo Lazzaro]

Rizki:
welcome to this forum.
Since you're dealing with a T>N panel dataset, you should switch from -xtreg- to -xtregar-.

[rizki karim]

HI Prof Carlo
refer to ur comment on other section
the recommendation to switch from -xtreg- for N>T panel dataset to -xtregar- for T>N panel dataset is reported in https://www.stata.com/bookstore/micr...metrics-stata/, Chapter 8: 277-278.
My advice to invoke -robust- or -cluster- option if heteroskedasticity and/or autocorrelation is detected in N>T panel dataset came from the original poster description; conversely, these options are not available for -xtregar-.

i wanna confirm does xtregar solve heteroscedasticity and autocor, like xtreg robust or xtscc?
i lack of understanding about that

Karim

[Carlo Lazzaro]

Rizki:
see Is -xtregar- a large N, or a large T estimator? - Statalist, #2. Jeff Wooldridge recommends -xtgee- in case like yours.
Please call me Carlo, as all on (and many more off) this forum do. Thanks.

[ASAD NAQVI]

I have one question from respected Mr. Carlo
Carlo Lazzaro

My T=31, N =5 (BRICS countries)
I have applied FE and RE models. the xtoverid suggested using FE model. Then I used xttes3 (showed hetero), xttest2 (showed auto), and xtcsd, pesaran abs (showed CS Indep = -2.005, Pr = 0.0450, The average absolute value of the off-diagonal elements = 0.265).
1. does it show that i have hetero, auto and cross sectional dependence in my data?
2. can you please suggest remedies/ alternative estimation methods.
3. I saw some of your posts which states that Xtgls is random effect estimator. Should I use xtgls (as my T>N) or xtscc as a remedial estimation?

I would be grateful for your reply.

Kind regards,
Asad

[Carlo Lazzaro]

Asad:
I would give -xtscc- a shot.

[ASAD NAQVI]

Thank you for your prompt response Mr Carlo.

[ASAD NAQVI]

sorry for bothering you again, i applied
xtreg indep dep, fe robust
est store fe_robust
xtscc indep dep, fe lag(4) [changed lags as well]
est store fe_dris_kraay
est table *, b se p

Through xtscc command i am getting insignificant coefficients of my main variables.
1.As i am new to this method, can you suggest some reading/ commands?
2.Can i use xtpcse?
3. i tried xtgls with (panels iid, panels (correlated), igls... it gave me better results,but i am not sure whether i can use xtgls technically or not

[Carlo Lazzaro]

ASAQ:
1) results (just like data ) are what they are;
2) read the -xtscc- entry in Stata .pdf manual and related references;
3) from -xtgls- entry in Stata .pdf manual:

xtgls allows models with heteroskedasticity and no cross-sectional correlation,

.

[ASAD NAQVI]

sure, i will look into it.
Thank you Mr Carlo

[Carlo Lazzaro]

Asad:
please call me Carlo, as all on (and many more off) this forum do. Thanks.

[rizki karim]

sorry carlo, im still face problem in undestanding, in ASAD case u prefer to use XTSCC, but in my case XTreg even our model is almost similiar, N=6 T=23 (asad model n=5 t=31)

[Carlo Lazzaro]

Rizki:
last advice was to use -xtgee-, not -xtreg-.