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st: Comparing xtreg, fe and xtgls problem

From   "Bradley, Steven W" <>
To   <>
Subject   st: Comparing xtreg, fe and xtgls problem
Date   Mon, 5 Sep 2005 15:03:50 -0500

I get the following error when I run the fixed effects test:


. xtreg profit age size cfreeequi c_freeequi2 munificence4dig, fe

independent variables are collinear with the panel variable orgnr



I don't have a similar problem when I run the xtgls and I would like to
compare the two.


xtgls profit size age cfreeequi c_freeequi2 munificence4dig,
panels(heteroskedastic) corr(psar1) force


Any ideas?


More details....


I have a difficult panel data set I am working with and wanted to be
sure I was headed in the right direction as there are so many
assumptions made for different models.


My data includes new business ventures with approximately 70 percent
attrition from 1994 to 2002 for my 1994 cohort (unbalanced).  My data
would also be heteroskedastic and serially correlated.  I also would
like to test higher order terms as shown by the following model:   


Variables (Y) Performance (OIBD), (X) Cash slack, (Z) Munificence


The equation would take the form:


Y = b1X + b2X^2 + b3Z + b4XZ + b5X^2Z + b0


My plan is to use FGLS (xtgls) and then perform a Heckman correction for
the unbalanced panel issue.  Does this seem like a reasonable approach? 




Steven W. Bradley
Doctoral Student
Management Department
Kelley School of Business
Indiana University 


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