st: A Question on Panel Data

[Ricardo Gon�alves Silva <ricardogs@terra.com.br>]

Dear Stata users

My question concerns on panel data estimation. I have cross section of 124 
countries observed over 19 to 33 years. Additionally, I suspect my dependent 
variable is heterosckedastic (income growth rate) and correlated with one 
independent variable (the income level) and a time-trend. Finally, I want to 
get specific country effects. In this way, my model is something like that:

gr_y = x1 time i.idd

The question is: what estimation procedure should I use. In my view, the 
basic ones are xtgls or xtpcse. I know that xtgls are asymptotic in panels, 
and xtpcse are asymptotic in years. So, given my setup, the direct choose 
would be xtgls. But I also know that the Standard Deviations of FGLS are too 
optimistic.

So, the question remains? What one?

Any help will be very appreciated.

Cheers

Ricardo



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