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st: xtregar, xtreg, and time dummies

From   <>
Subject   st: xtregar, xtreg, and time dummies
Date   Tue, 08 Oct 2002 12:04:37 -0400

Dear list,

I have a panel of income levels data, 40 countries and 45 time periods. 
I am using xtreg with fixed and time effects, with xi-dummies for the 
years. Now I want to check if xtregar gives similar results.

Should I include the year dummies in xtregar, just as I did in xtreg, 
or xtregar automatically accounts for time effects?  What difference 
does it make to include year dummies in xtregar, or not?  How do I 
decide whether to use xtreg or xtregar?

Would first-differencing my data yield the same results as xtregar?

Thanks for any suggestions,



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