I have a panel data set with N (=100) groups and T (=9) observations
per group. I want to allow for heteroskedasticity across groups (but a
constant variance over time within each group) and arbitrary serial
correlation within group but equal pattern aross groups (i.e., the same
serial correlation model within each group).
I do not want to use GLS. I want to use OLS with robust standard errors.
How do I do this in Stata?
My understanding is that using reg with options robust and cluster(i)
gives me a more flexible model than the one I want. That is, these
options allow for heteroskeadsticity across groups as well as within
groups and for arbitrary serial correlation within groups but which is
not constrained to be the same across groups.
Sugegstions will be very much appreciated. Thanks
--
***********************************************************************************************
Saul Lach
Dept. of Economics Tel: 972-2-5883253
The Hebrew University Fax: 972-2-5816071 (Israel)
Jerusalem 91905 Fax: (208)441-6752 (USA)
Israel E-mail:
[email protected]
Home page: http://economics.huji.ac.il/facultye/saul/saul.html
You can access my papers on the Social Science Research Network (SSRN)
through the
following url http://papers.ssrn.com/author=15805
***********************************************************************************************
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
