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Re: st: A Question on Panel Data
The xtgls command is strictly speaking not asymptotic in panels - rather,
it requires a large time dimension. This is essentially because you are
estimating variance parameters for each panel and the estimates require
many time-periods per panel for consistency.
You may attempt to use the command
This command gest you OLS parameters (as the xtpcse command) but the
standard errors are consistent for N large rather than T large.
On Mar 1 2005, Ricardo Gonçalves Silva wrote:
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.
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