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st: Fixed Effects GLS

From   May Ster <>
Subject   st: Fixed Effects GLS
Date   Mon, 11 Apr 2011 23:10:06 +0100

Dear Statalist,

I tried reading Woolridge (2002), Chapter 10 after he mentioned
choosing between Random effects model and Fixed effects model, he does
mentioned 'Fixed Effects GLS".

I'm not sure how does this apply to STATA command if i want to use
'Fixed Effects GLS".

If my model is a two-way fixed effects model, Basically, is the 'Fixed
Effects GLS" can be written like this (i've checked for serial
correlation in error terms) ;

xi: xtgls var1 var2 var3 i.year , panel(hetero) corr(psar1)

Please help.

Thank you very much in advance

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