Thank you for the answer, I'll examine those commands.
Best,
Vladimir.
On 6/5/07, Johan Hellstrom <[email protected]> wrote:
If you want a fixed effect GLS-PW then you could include unit specific dummy variables (and time-specific dummies) in the model.
Other options could be, for instance, xtregar (that also allows for GLS-PW), xtgls, or Mark Schaffer's xtivreg2 and use robust bw(#) option for HAC standard errors.
Best,
Johan Hellstrom
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