On Fri, 28 Dec 2012, Clive Nicholas wrote:
>>> (2) as there is no LDV, how do I ensure that I select robust SEs that do
>>> not correct for autocorrelation?
>>
>> That seems to me a non-sequitur. Why should the non-inclusion of an
>> LDV immunize a model against an autocorrelated error? Rather the
>> reverse, I would think: if you include enough lags of the dependent
>> variable, then maybe you have "whitened" the error term to the point
>> where correction for autocorrelation is redundant.
>
> There is no LDV in the model because - correct me if I'm wrong - that would
> render the parameter estimates biased in a fixed-effects LSDV model (Judson
> and Owen, 1999).
True. But I didn't mean that you have to include an LDV in
your panel model. I was just questioning what I took to be
your assumption: that since you don't have an LDV, you don't
have to worry about autocorrelation of the error term when
selecting a robust variance estimator. That doesn't follow.