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st: which command is better?


From   "tom blade" <tomblade@eudoramail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: which command is better?
Date   Fri, 04 Jul 2003 12:54:29 -0400

Dear friends,

I have a doubt. I am working with panel data and have a problem of heteroskedasticity. So I could choose among these alternatives:

1) xtgls, p(h)
2) areg, robust
3) regress with id dummies and option robust

2) and 3) give the same coefficients than xtreg, fe but different standar errors. xtgls gives different coefficients and standar errors.

Which is the best solution?

Any help will be much appreciated.

Sincerely,
Tom


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