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Re: st: Autocorrelation and heteroskedasticity in panel models


From   "carambas" <mcaramba@uni-bonn.de>
To   "Statalist" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Autocorrelation and heteroskedasticity in panel models
Date   Tue, 10 Aug 2004 14:47:50 +0200

Dear Clive,

  Having read that your mail, I wonder then what I could use if T < N and
there is panel heteroskedasticity (In your mail, OLS-PCSE would be the best
option if T > N and there's panel het.) I could of course resort to GLS, in
particular -xtgls- but then it is also advised (read from FAQ in Stata
http://www.stata.com/support/faqs/stat/awreg.html) that when fitting a
variance-unconstrained model---which I am doing)  not to use -xtgls- if the
number of df (N-k) is below 25 (in one of the 2 groups I have, I will
certainly violate it). I am almost convinced to use -xtgls- given the
arguments for T and N requierements and also my hausman test favors random
effects and i have both autocorr and het in panel data but then the df
constraints came in. Do you or anyone have any idea how to resolve this T, N
and df constrains in -xtpcse- and -xtgls-?

Cris





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