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st: xtpcse, reg3, and fixed effectt

From   hemmeter <>
Subject   st: xtpcse, reg3, and fixed effectt
Date   Tue, 22 Oct 2002 11:53:34 -0500


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?

Much thanks.

Jeffrey Hemmeter
University of Illinois

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