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Re: st: Fixed Effects GLS


From   "Ada Ma" <heu034@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fixed Effects GLS
Date   Tue, 12 Apr 2011 00:09:11 +0000

Fixed Effects model is a kind of GLS model. Use the basic FE commands and you will be fine. 

There are user written commands for two way FEs but I can't remember the commands' names, sorry! There are two of them and they r both featured in the Stata Journal, one of the authors for one command is Upward. HTH.


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-----Original Message-----
From: May Ster <mayfrank@gmail.com>
Sender: owner-statalist@hsphsun2.harvard.edu
Date: Mon, 11 Apr 2011 23:10:06 
To: <statalist@hsphsun2.harvard.edu>
Reply-To: statalist@hsphsun2.harvard.eduSubject: st: Fixed Effects GLS

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

Maysa
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