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st: RE: Panel data with small T(24) and N(14) - how to estimate?


From   "Jacobs, David" <jacobs.184@sociology.osu.edu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Panel data with small T(24) and N(14) - how to estimate?
Date   Fri, 27 May 2011 17:00:46 +0000

I suspect the Stata procedure named -xtpcse- would be more appropriate.  Some political scientists have claimed that -xtgls- standard errors are too small.  The -xtpcse- procedure does everything that -xtgls- does, so why not use that procedure?

Dave Jacobs 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maria Plich
Sent: Friday, May 27, 2011 7:17 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Panel data with small T(24) and N(14) - how to estimate?

Dear Statausers,

I am creating model based on panel data which has got relatively small
N (14) and T (24). What is important N represents whole population. I
expect problems with heteroscedasticity within and between panels as
well as cross-sectional and serial correlation. I wonder if use of
generalized least squares (xtgls) to estimate relations between data
is a good idea. If not, could you suggest me something better?

In advance thank you very much for help.

Maria

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