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st: xtreg vs. xtgls vs. xtpcse vs. xthtaylor


From   "Fardad Zand" <fardad.zand@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtreg vs. xtgls vs. xtpcse vs. xthtaylor
Date   Wed, 5 Nov 2008 13:48:16 +0100

Dear listers,

I couldn't figure out exactly what the difference is between

(a) xtreg, vce(robust) cluster(id)
(b) xtgls
(c) xtpcse
(d)xthtaylor

To my knowledge they all try to correct some form of
heteroskedasticity or panel specific correlations. But it is not clear
to me where and when each option is best to use.

Moreover, after you run a model on panel data, how can you check:

(1) heteroskedasticity
(2) auto-correlation
(3) endogeneity
(4) multicollinearity

One probably need the above information to decide what model/estimator to use.

I really appreciate your time and supporting me in my research.

Good luck to all of you,
Fardad

-- 
ir. Fardad Zand
Researcher & PhD Candidate
MSc Management of Technology

Department of Economics & Management of Innovation
Faculty of Technology, Policy & Management
Delft University of Technology

Kruisstraat 30
2611 MJ Delft
the Netherlands

Office: +31 15 278 42 73 (room C0.060)
Mobile: +316 54 31 57 97
Email: f.zand@tudelft.nl
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