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Re: st: xtgls large N small T


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtgls large N small T
Date   Sat, 9 Feb 2008 09:19:08 -0500

Bulent <bkoksal@gmail.com>:
-xtgee- is an alternative; read the manual entries in [XT]. But better
IMHO is to use
  xtreg, fe i(ivar) cluster(ivar)
if you have large M (number of FE/clusters) since it consistently
estimates SEs in the presence of arbitrary intrapanel correlation of
errors.  (See references at http://repec.org/usug2007/crse.pdf)

On Feb 9, 2008 6:48 AM, Koksal, Bulent <bkoksal@gmail.com> wrote:
> Dear Stata Users,
>
> Can we use xtgls for large N small T panel data?
>
> If we have heteroskedasticity in a large N small T data, is the only
> option available to use
>
> xtreg, fe vce(robust) ?
>
> Thanks for any help.
>
> --
> Bülent Köksal
>

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