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st: xtgls, p(h) versus xtreg, re robust cluster()


From   Vincenzo Lombardo <vl30@sussex.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: xtgls, p(h) versus xtreg, re robust cluster()
Date   Wed, 09 Aug 2006 10:47:13 +0100

dear all,
i am using panel data; i have a question on gls and robust command. do you know what is the difference between using xtgls, p(hetero), that is groupwise heteroskedasticity, and using xtreg, re robust with or without the cluster() option?
In both case, the estimator used should be the GLS, but I do not understand what is the difference between using the two different commands (xtgls, p(h) or xtreg, re robust).
the coefficients given by the two approaches, indeed, results different, sometimes only slightly, but most of the time the difference quite substantial.
thanks a lot..

--
Vincenzo Lombardo
University of Sussex, Dept. of Economics
University of Napoli Parthenope, DSE
12 Canfield Road
BN2 4DN Brighton - UK
tel. (UK):++44(0)7765991711
tel. (ITALY):++393284164302
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