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st: xtgls, xttest2, xttest3


From   Amin Mohseni <aminmohseni@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtgls, xttest2, xttest3
Date   Thu, 15 Apr 2010 12:43:55 -0400

I want to make sure my logic below is correct.

First I am run xtgls with the option panels(correlated) which uses
heteroskedastic and correlated error structure for computing the
standard errors.

Then I run xttest2 and xttest3 I reject the null for both tests
(confirming that I have groupwise hetero and cross-panel correlation)

Now I can trust the results from the xtgls,  panels(correlated)
because xttest2 and xttest3 indeed point to groupwise hetero and
cross-panel correlation) which I have included in my xtgls model.

is the reasoning correct?

thanks
amin

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