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st: Re: xtreg and suest


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: xtreg and suest
Date   Sun, 9 Apr 2006 07:44:33 -0400

I was going to suggest the fully-interacted-dummy approach, but Dan beat me to it.

If you want to allow for heteroskedasticity in this context, why not use xtgls?

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


On Apr 9, 2006, at 2:33 AM, statalist-digest wrote:


Thanks a lot for your suggestion. Your method seems to work well for the
coefficients of the variables but not for the intercepts which is what I
am really interested in. Because I am quite sure that the variance of
the two groups is not equal and since the Hausman test is indefinite I
would like to estimate two different models and compare the intercepts
of the two models. Is there a way to do that? Furthermore, is it
possible to generalize your approach for more than two groups of
individuals?
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