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st: How to correct for serial correlation with panel data


From   Duha Altindag <daltin2@tigers.lsu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: How to correct for serial correlation with panel data
Date   Thu, 26 Mar 2009 13:19:27 -0500

Hi,
I'm estimating an LSDV model with clustered SE's. It's a short
unbalanced panel of 20 groups and on average 6-7 observations per
group.

I find errors are serially correlated with the command xtserial.

I wanted to correct for that with xtgls; however I couldn't because
xtgls required a balanced panel.

Is there a way to do that with unbalanced panels?
Or should I just look at bootstrap SE's since it's a short panel?
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