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st: fixed effects & autoco& heterosk&matsize


From   "Svetlana Mira " <SvetlanaM@Cardiff.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: fixed effects & autoco& heterosk&matsize
Date   Tue, 25 May 2004 23:37:56 GMT0BST

I've got exactly the same problem as Toni, but for a very large dataset (44 th obs over 13 years). 
I've evaluated my model based on fixed/random effects models. According to Hausman test fixed 
effects model is the most appropriate. I have used xttest3 to test for heterosk; xtserial  and pantest2 to 
test for autocorrelation for the fixed effects model. Based on the results, my model suffers from 
both - autocorrelation and heteros. Following Clieve's advice I have used xtgls y x1 x2 x3, c(p) force
 to cure for autocorr and heterosk. However, a message saying that "matsize too small - should be 
at least 6243" has appeared. I have tried to increase the memory (set memory 700m) and matsize 
(set matsize 4000) to the maximum (allowed by my computer), but it seems that it is not enough. 
Any suggestions?

Svetlana Mira


On 26 May 2004 at 0:20, Antonio Rodrigues Andres wrote:

> Thanks Clive
> I just wonder if I want to estimate a fixed effects model with ar(1) and
> accounting for heteroskedasticity, I should use xtgls as follows
> 
> xtgls dep.var indep.var indi.dummies, force p(corr)
> 
> is that correct?
> Toni
> 
> >>> Clive.Nicholas@newcastle.ac.uk 05/25/04 11:57 PM >>>
> Antonio Rodrigues Andres wrote:
> 
> > I tried
> > xtgls y x1 x2 x3, force p(corr)
> > but it appears the message
> > panels must be balanced
> >
> > what is wrong?
> 
> Try:
> 
> . xtgls y x1 x2 x3, c(p) force
> 
> CLIVE NICHOLAS        |t: 0(044)191 222 5969
> Politics              |e: clive.nicholas@ncl.ac.uk
> Newcastle University  |http://www.ncl.ac.uk/geps
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