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

["Martin Weiss" <martin.weiss1@gmx.de>]

<> 

So far, I cannot see what is nonlinear about your model. Does it have to do
with the dependent var being "log-centric"? Neither "log centric" nor
"log-centric" yield any hits on the archive search
http://www.stata.com/statalist/archive/, so you should explain the term...



HTH
Martin

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Florian Stahl
Gesendet: Mittwoch, 13. Januar 2010 16:07
An: statalist@hsphsun2.harvard.edu
Betreff: st: xtgls, xtpcse or xtreg when the dataset is very small and N > T


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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