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st: Want to run xtreg with AR(1) autocorrelationallowed

From   <>
Subject   st: Want to run xtreg with AR(1) autocorrelationallowed
Date   Tue, 2 May 2006 12:56:35 -0500

Dear All,

I want to run the panel data of 2000 entries for a 3-year 
period.  The 2000 entries are grouped into 14 U.S. states.  
I can use the xtreg, cluster() to capture the group effect 
but I still need to account for the autocorrelation of the 
error terms (AR(1)).  Can somebody please tell me how I 
should do that?  I don't see whether xtreg will allow me to 
do AR(1).

Also, somebody suggests that I try xtgls command.  I got the 
error message that the "Panel must be balanced."  I was 
confused.  What does it mean by that?  Does that mean I 
can't use xtgls?  What should I do to get both the "cluster" 
and the "autocorrelation" aspects into my panel regression?

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