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st: xtgls, xtpcse or xtreg when the dataset is very small and N > T


From   Florian Stahl <[email protected]>
To   [email protected]
Subject   st: xtgls, xtpcse or xtreg when the dataset is very small and N > T
Date   Wed, 13 Jan 2010 16:07:27 +0100

Dear Statalist,

as I don't know what is exactly going on behind some commands I have concerns of using the wrong command.

1. My dataset contains 40 firms and 10 time points (yearly): Dataset is very small and N > T 2. The dependent variable is log-centric and the independent variables are defined as the difference from the mean: That means my model is nonlinear.

My idea is to apply a fixed effects model with dummy variables for each firm. As the dataset is very small and N > T, which alternative model do you suggest to use:

GLS?
a) xtgls depvar indepvar firmdummies, pannel(hetero) corr(ar1)
b) xtpcse depvar indepvar firmdummies, corr(ar1) hetonly

OLS?
b) regress depvar indepvar firmdummies, vce(robust) cluster(firmid)

Or should I use (due to the nonlinearity in the model) glm or mle (xtreg depvar indepvar, mle)?

Thanks a lot for your help!

Florian

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