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st: Re: xtreg and suest

From   Kit Baum <>
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

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
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