OLS & FGLS estimators
Posted: Sun Jun 16, 2013 9:16 am
Hi All,
Could anyone tell me please, how to do that models with eviews v.6 :
i.e whats the right order (white-cross section, white period, etc...)
1- OLS and use robust cluster estimates of standard errors (on firms).
2- FGLS estimators:
A) one where you weight for group heteroskedasticity.
b) one where you weight for group heteroskedasticity and serial correlation.
I hope if someone can help :)
Thanks in advance
Could anyone tell me please, how to do that models with eviews v.6 :
i.e whats the right order (white-cross section, white period, etc...)
1- OLS and use robust cluster estimates of standard errors (on firms).
2- FGLS estimators:
A) one where you weight for group heteroskedasticity.
b) one where you weight for group heteroskedasticity and serial correlation.
I hope if someone can help :)
Thanks in advance