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st: xtpcse, reg3, and fixed effectt
I am currently using panel data to estimate a reduced form supply equation.
Tests have indicated the need to correct for groupwise heteroskedasticity,
contemporaneous correlation of errors, and panel-specific autocorrelation. It
seems that -xtpcse- is the best command to use to do this. Is it
inappropriate to use the LSDV approach to control for panel fixed effects with
this command? (I'm using a panel of states and am wondering if I can include
state dummy variables.)
Also, I would like to estimate the structural model the above equation is
based on. Would -reg3- appropriately deal with the above mentioned problems
and the panel nature of the data?
University of Illinois
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