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st: RE: Want to run xtreg with AR(1) autocorrelation allowed
> -----Original Message-----
> From: firstname.lastname@example.org
> [mailto:email@example.com] On Behalf Of
> Sent: 02 May 2006 18:57
> To: firstname.lastname@example.org
> Subject: st: Want to run xtreg with AR(1) autocorrelation allowed
> 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)).
It depends what you mean by "accounted for". The -cluster- option gives
you standard errors that are robust to arbitrary within-group
autocorrelation (as well as arbitrary heteroskedasticity), so in that
sense, the AC is already "accounted for". Maybe this is enough for your
> 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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