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RE: st: PLEASE HELP! PANEL DATA


From   amcdowell@stata.com
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: PLEASE HELP! PANEL DATA
Date   Mon, 20 Jan 2003 15:09:26 -0600

Paula Garcia wrote:

> I have a doubt on panel data and I would be very grateful if someone could
> give me some insights. When you estimate using xtgls, the error term e, does
> include the fixed effects v?  I think that they are not included, but then,
> is it a model on panel data without considering the fixed effects, like in
> xtreg, for example?

-xtgls- does not fit fixed effects models. Rather, it is an implementation of
a generalized least squares estimator that can account for error terms that
are not identically or independently distributed across panels and for cases
where the errors are autocorrelated within panel.


Allen McDowell
amcdowell@stata.com

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