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st: Panel Data Analysis
I'm pretty new to Stata and I was hoping someone might be able to help me
with a few queries (apologies for the length of the message). I have a
balanced panel of 78 countries with data for 2 time periods, 1999 and 2001.
I wanted to run the regression whereby the dependent variable is gdp growth,
and the independent variables are aids deaths, literacy rate, productivity
growth and population growth.
I ran xtreg...re i(country) and also xtreg...fe i(country) followed by the
xthausman test. I get the following results.
Hausman specification test (Warning: xthausman is no longer a supported
command; use -hausman-. For
instructions, see help hausman.)
---- Coefficients ----
| Fixed Random
gdpgrowth | Effects Effects Difference
aidsdeaths | -.2627628 -.0446729 -.2180899
prodgrowth | .5323049 .5334939 -.001189
popgrowth | .1182492 .307154 -.1889048
literacy | -.4322142 .0048829 -.4370972
Test: Ho: difference in coefficients not systematic
chi2( 4) = (b-B)'[S^(-1)](b-B), S = (S_fe - S_re)
Prob>chi2 = 0.2569
Both models are quite poor compared to what I expected but I don't
understand what the above results are telling me - can anybody help? Can I
also test for autocorrelation or heteroskedasticity before running another
As both the fixed effects and random effects models were poor I also ran the
xtgls model with corr(ar1) panel(hetero) force and got much better results.
However, I don't really know whether I should have stated that the model had
both autocorrelation and heteroskedasticity problems (can I even have ar1
seeing as my two time periods do not follow each other?). I really need to
know which model I should use before I go on to run smaller regressions on
samples of my countries.
I'd really appreciate it if somebody could help me with this, and I
apologise in advance for my lack of expertise in this area!
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