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?
Thanks,
Rung
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