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Re:st:individual effects and heteroskedasticity
I also have the same question. I notice that not very much often questions about panel data are answered. I would greatly wellcome your help on this topic.
>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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