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st: how to perform GLS with 3 layers - country year industry?


From   "calvin ho" <calvinho@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: how to perform GLS with 3 layers - country year industry?
Date   Wed, 17 Mar 2004 13:29:43 -0800

Dear stata experts,
I am working on a "3-layer (i, j, k)" panel dataset. In particular, the dataset has 3 layers, i= industry, j=year and k=country. it looks like:
ind1 year1 co1
ind1 year2 co1
ind2 year1 co1
ind2 year2 co1
ind1 year1 co2
ind1 year2 co2
ind2 year1 co2
ind2 year2 co2
...
I am using stata7 and want to correct for heteroasticity (within and across industry) and serial correlation (within industry AND country). Is there anyway I can do using stata. I could not use "xtgls y x1 x2, i(industry) t(year) p(c ) c(a )"
since there is only i and j, and j will not be unique within each industry (same year with different industries). Please advise.
Many Thanks!
Calvin

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