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st: Fixed Effects Panel Regression with correlation between panels


From   Ash Alankar <ash_alankar@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Fixed Effects Panel Regression with correlation between panels
Date   Thu, 19 Jun 2003 07:40:36 -0700 (PDT)

Hi,

I have a panel data set and would like to run a fixed
effect 
regression (different constants for each panel)
accounting for 
correlation between the error structure of each panel.
 It seems that 
xtreg, fe does not allow for this.  Is xtgls the
appropriate command 
to use, i.e. does it implicitly estimate a fixed
effects model? (I am guessing it does not and simply
restricts to constant to be equal for all individuals
(panels)). Any 
insights would help.
Thanks in advance.

Ash.


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