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st: xtgls, p(h) versus xtreg, re robust cluster()
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
thanks a lot..
University of Sussex, Dept. of Economics
University of Napoli Parthenope, DSE
12 Canfield Road
BN2 4DN Brighton - UK
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