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st: Re: unbalanced panel data with heteroskedasticity and correlation of residuals


From   "dora sepour" <dora05@gnet.tn>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: unbalanced panel data with heteroskedasticity and correlation of residuals
Date   Sun, 4 Nov 2007 11:26:56 +0100

Thank you very much Nicola for your help. xtpcse seems a good alternative, but can i use it to correct for hetero and correlation with fixed or random effects models?
Dora

Move to:
xtpcse y x1 x2, corr(ar1)
Alternatively, you may try -xtgee-, or -xtscc- (from ssc)
Nicola

At 02.33 31/10/2007 -0400, "dora sepour" wrote:

Dear Stata users,

I have an unbalanced panel data. I detected heteroskedasticity,
autocorrelation (using xtserial) and cross sectional correlation
(using
pesaran test).

Using xtgls y x1 x2, panels(corr) corr(ar1) to correct for hetero and
dependence, a message tells me that the panels must be balanced.  Is
someone
have an idea to correct for hetero and dependence with unbalanced
panels
data?

Thanks in advance for your suggestions,
Best wishes,
Dora
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