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st: xtegar vs xtgls
Even with the STATA manual on panel, I am a little unclear on the
differences between xtregar and xtgls.
Xtregar uses a different estimating procedure than the feasible gls? Is
this because of different initial assumptions? Most of the literature
seems to indicate that omega is unknown and therefore FGLS is used for
If there is a quick explanation or reference, it would be of great help
to several people I know asking this question.
Thanks and have a great weekend!
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