[学习心得] 面板数据异方差的处理 [推广有奖]

11楼

黃河泉

发表于 2016-9-19 17:57:17

athena0795 发表于 2016-9-19 17:20
刚刚接触stata，想请教一下，如何在stata进行PCSES，我就属于小N大T，看见很多文献都采用了，但是却找不到命 ...

你是指 "xtpcse" -- Linear regression with panel-corrected standard errors 吗？

12楼

sunnyasd 发表于 2016-9-19 21:55:30 来自手机

落叶无雨发表于 2015-3-4 10:15
一、前言计算和互联网技术的广泛运用极大地提高了数据的可获得性，使大量的数据得以收集、保存和整理。与此 ...

看来还得好好学习啊，理论没看懂

13楼

athena0795 发表于 2016-9-21 11:06:41

黃河泉发表于 2016-9-19 17:57
你是指 "xtpcse" -- Linear regression with panel-corrected standard errors 吗？

是滴，可能我找到的教程都太粗糙了一些，教程里面只有固定和随机，以及豪斯曼检验。

14楼

20110716

发表于 2017-9-3 00:30:28

受教

15楼

20110716

发表于 2017-9-3 00:32:22

有一个疑问，按照文献的说法xtscc是适合大N小T的，，但使用手册上说大N小T慎用啊？
截取一段别人的引言
“xtscc produces Driscoll and Kraay (1998) standard errors for coefficients estimated by pooled OLS/WLS or fixed-effects (within) regression. depvar is the dependent variable and varlist is an (optional) list of explanatory variables.
The error structure is assumed to be heteroskedastic, autocorrelated up to some lag, and possibly correlated between the groups (panels). These standard errors are robust to very general forms of cross-sectional ("spatial") and temporal dependence when the time dimension becomes large. However, because this nonparametric technique of estimating standard errors does not place any restrictions on the limiting behavior of the number of panels, the size of the cross-sectional dimension in finite samples does not constitute a constraint on feasibility - even if the number of panels is much larger than T. Nevertheless, because the estimator is based on an asymptotic theory one should be somewhat cautious with applying this estimator to panel datasets with a large number of groups that have only a short number of observations.

16楼

huixuejingji 发表于 2017-11-3 15:07:42

黃河泉发表于 2016-9-19 17:57
你是指 "xtpcse" -- Linear regression with panel-corrected standard errors 吗？

黄老师，想请教您：使用面板校正标准误时，提示：no time periods are common to all panels, cannot estimate disturbance covariance matrix using casewise inclusion，我用的是N大T小的非平衡面板，想处理存在的组件异方差呢，这种面板校正标准误是不适用非平衡面板吗？那有其他的处理办法吗？

17楼

黃河泉

发表于 2017-11-3 15:50:26

huixuejingji 发表于 2017-11-3 15:07
黄老师，想请教您：使用面板校正标准误时，提示：no time periods are common to all panels, cannot est ...

1. 看起来是你的时间变量的问题，频率是什么？2. 建議用 dataex (先 ssc install dataex 并见说明) 将原始 Stata 资料中具有”代表性”的一部分资料列出，以供有意回答者实验之用，并能提供具体操作指令。并请参考 https://bbs.pinggu.org/thread-5048204-1-1.html 与https://bbs.pinggu.org/thread-5917273-1-1.html。