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st: individual effects and heteroskedasticity
I'm a new user of stata and have a doubt. I want to incorporate individual effects and heteroskedasticity but xtgls does not allow for this. Would it be a good idea to xtdata, re and then use regress? (I have checked between fixed effects, random effects and poolability and re is the best). I have read that xtdata is only for looking for the best model, not to make inference. If this is not a good idea, how could I estimate a model with individual effects and heteroskedasticity?
I would appreciate your help sincerely.
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